Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model
AbstractIn this paper we estimate the yield curve of U.S. government bonds using a Markov switching latent variable model. We show how measures such as the level, slope, and curvature of the yield curve are a�ected by business cycle conditions. We present a switching latent model which not only seem to capture this features in sample but also performs well out of sample.
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Bibliographic InfoPaper provided by Universidad Torcuato Di Tella in its series Department of Economics Working Papers with number 2012-07.
Length: 47 pages
Date of creation: Jul 2012
Date of revision:
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Web page: http://www.utdt.edu/ver_contenido.php?id_contenido=439&id_item_menu=568
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Yield Curve; Term structure of interest rates; Markov regime switching; Maxi- mum likelihood; Risk premium.;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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