Yield Curve Predictability, Regimes, andMacroeconomic Information: A Data-Driven Approach

We propose an empirical approach to determine the various economic sourcesdriving the US yield curve. We allow the conditional dynamics of the yield at differ-ent maturities to change in reaction to past information coming from several relevantpredictor variables. We consider both endogenous, yield curve factors and exoge-nous, macroeconomic factors as predictors in our model, letting the data themselveschoose the most important variables.[...]

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Year of publication:	2009-05-01
Authors:	Audrino, Francesco ; Filipova, Kameliya
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Prognose \| GARCH-Prozess \| Ertrag \| Kurve \| Laffer curve

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1 Introduction
2 The Model
2.1 The yield-macro model: specification
2.2 The yield-macro model with regime shifts: specification
2.3 Model estimation
2.4 Improving the forecasting ability: Bagging
3 Empirical Results
3.1 Data
3.2 What is driving the Yield Curve Predictability?
3.3 Out-of-Sample Forecasting
4 ConclusionReferences

Persistent link: https://www.econbiz.de/10005868713