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dc.contributor.authorCarriero, Andreaen_US
dc.date.accessioned2012-09-20T13:02:14Z-
dc.date.available2012-09-20T13:02:14Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/62930-
dc.description.abstractIn this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant gains in predictive accuracy. The key idea is to use the restrictions implied by Affine Term Structure Models (ATSM) on a vector autoregression (VAR) as prior information rather than imposing them dogmatically. This allows to account for possible model misspecification. We apply the method to a system of five US yields, and we find that the gains in predictive accuracy can be substantial. In particular, for horizons longer than 1-step ahead, our proposed method produces systematically better forecasts than those obtained by using a pure ATSM or an unrestricted VAR, and it also outperforms very competitive benchmarks as the Minnesota prior, the Diebold-Li (2006) model, and the random walk.en_US
dc.language.isoengen_US
dc.publisherQueen Mary, Univ. of London, Dep. of Economics Londonen_US
dc.relation.ispartofseriesWorking Paper, Department of Economics, Queen Mary, University of London 612en_US
dc.subject.jelC11en_US
dc.subject.jelC53en_US
dc.subject.jelE43en_US
dc.subject.jelE47en_US
dc.subject.ddc330en_US
dc.subject.keywordBayesian methodsen_US
dc.subject.keywordForecastingen_US
dc.subject.keywordTerm structureen_US
dc.subject.stwKapitalmarkttheorieen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwTheorieen_US
dc.titleForecasting the Yield curve using priors from no arbitrage affine term structure modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn548436436en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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