The effects of conventional and unconventional monetary policy on forecasting the yield curve

DOI10.1016/j.jedc.2019.103812OpenAlexW2972430119WikidataQ126671829 ScholiaQ126671829MaRDI QIDQ2291799

Kyu Ho Kang, Yunjong Eo

Publication date: 31 January 2020

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://econ-wpseries.com/2019/201908-02.pdf

zbMATH Keywords

random walk modelMarkov-switching mixturearbitrage-free term structure modeldynamic Nelson-Siegel modeloperation twist

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises

Uses Software

• MCS

Cites Work

• Forecasting the term structure of government bond yields
• The Model Confidence Set
• Persistence in forecasting performance and conditional combination strategies
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• Forecasts of US short-term interest rates: a flexible forecast combination approach
• Confronting model misspecification in macroeconomics
• The affine arbitrage-free class of Nelson-Siegel term structure models
• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
• Optimal prediction pools
• Asset allocation under multivariate regime switching
• Short rate nonlinearities and regime switches.
• Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
• Analysis of Multifactor Affine Yield Curve Models
• Predictive Macro-Finance With Dynamic Partition Models
• A YIELD‐FACTOR MODEL OF INTEREST RATES

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