A macro-finance term structure model with multivariate stochastic volatility

被引：7

作者：

Laurini, Marcio P. ^{[1
]}

Caldeira, Joao F. ^{[2
]}

机构：

[1] FEA RP USP, Dept Econ, Ribeirao Preto, SP, Brazil

[2] Univ Fed Rio Grande do Sul, Dept Econ, Porto Alegre, RS, Brazil

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2016年 / 44卷

基金：

巴西圣保罗研究基金会;

关键词：

Macro-finance; Term structure of interest rates; Stochastic volatility; MCMC; Non-affine factor models; NELSON-SIEGEL MODEL; CURVE TELL US; YIELD CURVE; FORECASTING RECESSIONS; NO-ARBITRAGE; AFFINE; RISK; BOND; SPECIFICATIONS; MACROECONOMY;

D O I：

10.1016/j.iref.2016.03.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines some consequences of the presence of non-affine structures of multivariate stochastic volatility in a dynamic Nelson-Siegel model with macroeconomic variables. The results indicate that this non-affine model achieves superior in-sample fit for the observed yields, captures persistence patterns more consistent with stylized facts and empirical measures and also has greater explanatory power for the conditional volatility observed in yields compared to affine models and models without macroeconomic variables. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：68 / 90

页数：23

共 57 条

[1] Adrian T., 2010, STAFF REPORTS FEDERA, V421
[2] Recent US macroeconomic stability: Good policies, good practices, or good luck?
Ahmed, S
Levin, A
Wilson, BA
[J]. REVIEW OF ECONOMICS AND STATISTICS, 2004, 86 (03) : 824 - 832
[3] Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
Andersen, TG
Bollerslev, T
[J]. INTERNATIONAL ECONOMIC REVIEW, 1998, 39 (04) : 885 - 905
[4] Do Bonds Span Volatility Risk in the US Treasury Market? A Specification Test for Affine Term Structure Models
Andersen, Torben G.
Benzoni, Luca
[J]. JOURNAL OF FINANCE, 2010, 65 (02) : 603 - 653
[5] What does the yield curve tell us about GDP growth?
Ang, A
Plazzesi, M
Wei, M
[J]. JOURNAL OF ECONOMETRICS, 2006, 131 (1-2) : 359 - 403
[6] A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
Ang, A
Piazzesi, M
[J]. JOURNAL OF MONETARY ECONOMICS, 2003, 50 (04) : 745 - 787
[7] Ang A., 2005, P FEDERAL RESERVE BA
[8] Estimating the spot rate curve using the Nelson-Siegel model A ridge regression approach
Annaert, Jan
Claes, Anouk G. P.
De Ceuster, Marc J. K.
Zhang, Hairui
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2013, 27 : 482 - 496
[9] [Anonymous], BRAZILIAN REV ECONOM
[10] The great moderation of the term structure of UK interest rates
Bianchi, Francesco
Mumtaz, Haroon
Surico, Paolo
[J]. JOURNAL OF MONETARY ECONOMICS, 2009, 56 (06) : 856 - 871

← 1 2 3 4 5 6 →