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Fitting and forecasting yield curves with a mixed-frequency affine model: Evidence from China

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  • Shang, Yuhuang
  • Zheng, Tingguo

Abstract

This paper proposes a novel mixed-frequency affine term structure model to improving the fit and forecasting ability of yield curves. We also show the Bayesian estimation method related to this mixed-frequency model. Then we conduct an empirical study using Chinese macro and financial data. The empirical results show that compared with the traditional same-frequency affine model, the mixed-frequency affine model offers superior performance for fitting the yield curve and term structure factors. Specifically, this mixed-frequency affine model can provide more accurate out-of-sample forecast results of the yield curve.

Suggested Citation

  • Shang, Yuhuang & Zheng, Tingguo, 2018. "Fitting and forecasting yield curves with a mixed-frequency affine model: Evidence from China," Economic Modelling, Elsevier, vol. 68(C), pages 145-154.
  • Handle: RePEc:eee:ecmode:v:68:y:2018:i:c:p:145-154
    DOI: 10.1016/j.econmod.2017.07.002
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    References listed on IDEAS

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