کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054420 | 1476535 | 2013 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting the yield curve and the role of macroeconomic information in Turkey
ترجمه فارسی عنوان
پیش بینی منحنی عملکرد و نقش اطلاعات اقتصاد کلان در ترکیه
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this study we investigate the yield curve forecasting performance of Dynamic Nelson-Siegel Model (DNS), affine term structure VAR model (ATSM VAR) and principal component model (PC) in Turkey. We also investigate the role of macroeconomic variables in forecasting the yield curve. We have reached numbers of important results: 1-Macroeconomic variables are very useful in forecasting the yield curve. 2-The forecasting performances of the models depend on the period under review. 3-Considering the structural break which associates with change in monetary policy leads models to produce better forecasts than the random walk. 4-The role of exchange rate should not be ruled out in forecasting the yield curve in an emerging market like Turkey.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 33, July 2013, Pages 1-7
Journal: Economic Modelling - Volume 33, July 2013, Pages 1-7
نویسندگان
Huseyin Kaya,