Estimating VAR models for the term structure of interest rates

被引:4
作者
Vereda, Luciano [2 ]
Lopes, Helio [1 ,2 ]
Fukuda, Regina [1 ]
机构
[1] Pontificia Univ Catolica Rio de Janeiro, Dept Mat, BR-22453900 Rio de Janeiro, RJ, Brazil
[2] Pontificia Univ Catolica Rio de Janeiro, Inst Gesto Riscos Financeiros & Aturiais, BR-22453900 Rio de Janeiro, RJ, Brazil
关键词
term structure of interest rates; econometrics; macroeconomic variables;
D O I
10.1016/j.insmatheco.2007.05.004
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this paper we follow the work of Evans and Marshall and propose new approaches for modelling the joint development of macro variables and the returns of government bond yields of several maturities. The models are estimated and compared with other forecasting schemes previously proposed in the literature, especially those relying on univariate, VAR and error correction methods. The models are then used to judge the hypothesis that the information content of macro variables and the term structure of interest rates as a whole help improving forecasting performance. Our main conclusion is quite simple: if one is interested in computing short-term forecasts, then there is no significant improvement in incorporating information other than the one already present in past observations of the yield at hand; however, if one worries about long-term forecasts (which is frequently the case with pension insurance companies), then the information content of macro variables and the term structure can improve forecasting performance. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码:548 / 559
页数:12
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