Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas

André Leite, Romeu Filho and José Valentim Vicente

No 186, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: A variety of models has been proposed for yield curve forecasting. In this paper we present a dynamic latent factor model for Brazilian interest rate term-structure forecasting, based in three major information sources: macroeconomic variables, surveys and risk premium. We use the proposed model to produce forecasts six month ahead and we compare the results with the well known Diebold and Li (2006) and a random walk. Our forecasts appear much more accurate than the alternative models.

Date: 2009-01
New Economics Papers: this item is included in nep-cmp, nep-for and nep-mac
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