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dc.contributor.authorde Pooter, Michiel
dc.contributor.authorRavazzolo, Francesco
dc.contributor.authorvan Dijk, Dick
dc.description.abstractWe examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S.interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our results confirm and extend results found in previous literature that adding macroeconomic information, through factors extracted from a large number of individual series, tends to improve interest rate forecasts. We then show, however, that the predictive power of individual models varies over time significantly. Models with macro factors are the more accurate in and around recession periods. Models without macro factors do particularly well in low-volatility subperiods such as the late 1990s. We demonstrate that this problem of model uncertainty can be mitigated by combining individual model forecasts. Combining forecasts leads to encouraging gains in predictability, especially for longer-dated maturities, and importantly, these gains are consistent over time.nb_NO
dc.publisherNorges Banknb_NO
dc.relation.ispartofseriesWorking Papers;1/2010
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.subjectJEL: C5nb_NO
dc.subjectJEL: C11nb_NO
dc.subjectJEL: C32nb_NO
dc.subjectJEL: E43nb_NO
dc.subjectJEL: E47nb_NO
dc.subjectNelson-Siegel modelnb_NO
dc.subjectterm structure of interest ratesnb_NO
dc.subjectaffine term structure modelnb_NO
dc.subjectmacro factorsnb_NO
dc.subjectforecast combinationnb_NO
dc.subjectmodel confidence setnb_NO
dc.titleTerm Structure Forecasting Using Macro Factors and Forecast Combinationnb_NO
dc.typeWorking papernb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO

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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal