Please use this identifier to cite or link to this item: http://hdl.handle.net/11328/3386
Title: Forecasting the yield curve with macroeconomic information: evidence from European markets
Authors: Maldonado, Isabel
Pinho, Carlos
Rodríguez de Prado, Francisco
Lobo, Carla Azevedo
Keywords: Yield curve
Dynamic factor models
Forecasting
Out-of-sample forecasting evaluations
Issue Date: 2021
Publisher: Inderscience Enterprises Ltd.
Citation: Maldonado, I., Pinho, C., Rodríguez de Prado, F., & Lobo, C. A. (2021). Forecasting the yield curve with macroeconomic information: evidence from European markets. International Journal of Banking, Accounting and Finance, 12(2), 2021, pp. 177-200. Disponível no Repositório UPT, http://hdl.handle.net/11328/3386
Abstract: In this paper we analyse the predictive content of the introduction of macroeconomic variables in term structure dynamic models. We tested the dynamic models using data from the public debt, inflation rate and annual variation of the industrial production index for four European countries: Portugal, Spain, the United Kingdom and Germany. Results obtained for the period from January 1990 to December 2012 indicate that considering macroeconomic factors makes a positive contribution to the improvement of forecasts for different countries and maturities. However, the paper presents evidence of time-varying forecast accuracy, not only across yield maturities and forecast horizons, but also over data subperiods.
URI: http://hdl.handle.net/11328/3386
ISSN: 1755-3830 (Print)
1755-3849 (Electronic)
Appears in Collections:REMIT – Artigos em Revistas Internacionais / Papers in International Journals

Files in This Item:
File Description SizeFormat 
IJBAAF120205 MALDONADO_211142.pdf372.13 kBAdobe PDFView/Open    Request a copy


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.