Show simple item record

dc.contributor.authorFERNANDES, M
dc.contributor.authorVieira, F
dc.contributor.authorChague, F
dc.date.accessioned2016-11-02T10:13:11Z
dc.date.available2016-11-02T10:13:11Z
dc.date.issued2016-10-25
dc.date.submitted2016-08-19T11:45:32.287Z
dc.identifier.citationVieira, F., Fernandes, M., & Chague, F. (2016). Forecasting the Brazilian yield curve using forward-looking variables. International Journal Of Forecasting, 33(1), 121-131. http://dx.doi.org/10.1016/j.ijforecast.2016.08.001en_US
dc.identifier.issn1872-8200
dc.identifier.urihttp://qmro.qmul.ac.uk/xmlui/handle/123456789/16225
dc.description.abstractThis paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve in order to predict the Brazilian term structure of interest rates. Importantly, we extract the principal components for the FAVAR from a large data set containing a range of forward-looking macroeconomic and financial variables. Our forecasting model improves on the predictive accuracy of extant models in the literature significantly, particularly at short-term horizons. For instance, the mean absolute forecast errors are 15–40% lower than those of the random walk benchmark on predictions at the three-month horizon. The out-of-sample analysis shows that the inclusion of forward-looking indicators is the key to improving the predictive ability of the model.en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.titleForecasting the Brazilian Yield Curve Using Forward-Looking Variablesen_US
dc.typeArticleen_US
dc.rights.holder© 2016 International Institute of Forecasters
dc.relation.isPartOfInternational Journal of Forecasting
pubs.declined2016-08-19T11:45:40.715+0100
pubs.publication-statusAccepted


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record