کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973103 1479869 2012 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecasting the term structure of Chinese Treasury yields
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Forecasting the term structure of Chinese Treasury yields
چکیده انگلیسی

This paper is the first to study the forecasting of the term structure of Chinese Treasury yields. We extend the Nelson–Siegel class of models to estimate and forecast the term structure of Chinese Treasury yields. Our empirical analysis shows that the models fit the data very well, and that more flexible specifications dramatically improve in-sample fitting performance. In particular, the model which enhances slope fitting is the best in capturing the Chinese yield curve dynamics. We also demonstrate that time-varying factors of the models may be interpreted as the level, slope and curvature of the yield curve. Furthermore, we use five dynamic processes for the time-varying factors to forecast the term structure at both short and long horizons. Our forecasts are much more accurate than the random walk, the Cochrane–Piazzesi regression and the AR(1) benchmark models at long horizons.


► Study the forecasting of the term structure of Chinese Treasury yields.
► Extend the Nelson–Siegel class of models to estimate and forecast.
► Time-varying factors can be interpreted as the level, slope and curvature.
► Our forecasts are more accurate than the benchmark models at long horizons.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 20, Issue 5, November 2012, Pages 639–659
نویسندگان
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