The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the …

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting …