Detail publikace

Interest Rates Modeling and Forecasting: Do Macroeconomic Factors Matter?

Autor: Mgr. Ing. Adam Kučera ,
Typ: IES Working Papers
Rok: 2017
Číslo: 8
ISSN / ISBN:
Publikováno v: IES Working Papers 08/2017
Místo vydání: Prague
Klíčová slova: Interest Rate, Yield Curve, Macro-Finance Model, Affine Model, Nelson-Siegel
JEL kódy: C38, C51, C58, E43, E47
Citace: Kucera A. (2017). ” Interest Rates Modeling and Forecasting: Do Macroeconomic Factors Matter?” IES Working Paper 8/2017. IES FSV. Charles University.
Granty: Analýza dopadů vládních výdajů na časovou strukturu úrokových měr: Makro-finanční přístup
Abstrakt: Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment. Moreover, it has been shown that including the macro-variables into the shadow-rate models further improves the results. We build on these findings and evaluate for the U.S. Treasury yields, whether the lower bound proximity was truly the only issue to reflect in the interest rate modeling since the Great Recession. Surprisingly, we discover that the relative importance of yield curve factors has changed as well. More specifically, instead of macroeconomic factors, financial market sentiment factors became dominant since the recent financial turmoil. Based on such finding, we show, that extending the macro-finance interest rate models by financial market sentiment proxies further improves the forecasting performance.
Ke stažení: wp_2017_08_kucera

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