In this study we investigate the yield curve forecasting performance of Dynamic Nelson–Siegel Model (DNS), affine term structure VAR model (ATSM VAR) and principal component model (PC) in Turkey. We also investigate the role of macroeconomic variables in forecasting the yield curve. We have...

This article contributes to the vast literature on the predictive power of term structure on future inflation by focusing on an emerging market case: Turkey. The most important result emerging in our article is the following: Monetary policy change is an important determinant of the relationship...

This paper contributes to the literature on the relationship between the yield curve and macroeconomic variables by focusing on an emerging market case: Turkey. The most important result of the paper is that the relationship between the yield curve and macroeconomic variables is significantly...