Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172900
Authors: 
Gospodinov, Nikolay
Wei, Bin
Year of Publication: 
2016
Series/Report no.: 
Working Paper No. 2016-3
Abstract: 
In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological side, we propose a novel way of incorporating information from these markets into an affine model. On the empirical side, two main findings emerge from our analysis. First, incorporating information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield forecasts.
Subjects: 
bond prices
TIPS
inflation derivatives
oil prices
no-arbitrage
affine models
out-of-sample forecasting
JEL: 
G12
E43
E44
C32
Document Type: 
Working Paper

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