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Forecasting the yield curve and the role of macroeconomic information in Turkey

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  • Kaya, Huseyin

Abstract

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.

Suggested Citation

  • Kaya, Huseyin, 2013. "Forecasting the yield curve and the role of macroeconomic information in Turkey," Economic Modelling, Elsevier, vol. 33(C), pages 1-7.
  • Handle: RePEc:eee:ecmode:v:33:y:2013:i:c:p:1-7
    DOI: 10.1016/j.econmod.2013.03.013
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    1. repec:eee:ecmode:v:66:y:2017:i:c:p:201-213 is not listed on IDEAS
    2. repec:eee:ecmode:v:68:y:2018:i:c:p:145-154 is not listed on IDEAS

    More about this item

    Keywords

    Yield curve; Forecasting; Macroeconomic variables; DNS; ATSM;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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