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dc.contributor.authorDuffee, Gregory R.en
dc.date.accessioned2011-01-28-
dc.date.accessioned2011-09-27T15:21:32Z-
dc.date.available2011-09-27T15:21:32Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/49903-
dc.description.abstractNo-arbitrage term structure models impose cross-sectional restrictions among yields and can be used to impose dynamic restrictions on risk compensation. This paper evaluates the importance of these restrictions when using the term structure to forecast future bond yields. It concludes that no cross-sectional restrictions are helpful, because cross-sectional properties of yields are easy to infer with high precision. Dynamic restrictions are useful, but can be imposed without relying on the no-arbitrage structure. In practice, the most important dynamic restriction is that the first principal component of Treasury yields follows a random walk. A simple model built around this assumption produces out-of-sample forecasts that are more accurate than those of a variety of alternative dynamic models.en
dc.language.isoengen
dc.publisher|aThe Johns Hopkins University, Department of Economics |cBaltimore, MDen
dc.relation.ispartofseries|aWorking Paper |x576en
dc.subject.ddc330en
dc.titleForecasting with the term structure: The role of no-arbitrage restrictions-
dc.typeWorking Paperen
dc.identifier.ppn644824476en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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