Predictive Density Simulation of the Korean Yield Curve: Pooling Method Approach (in Korean)

Ah Jin Choi () and Kyu Ho Kang ()
Additional contact information
Ah Jin Choi: Department of Economics, Korea university
Kyu Ho Kang: Department of Economics, Korea university

Economic Analysis (Quarterly), 2014, vol. 20, issue 4, 76-113

Abstract: One of the various causes which interrupt accurate prediction is model misspecification. Generally, almost every prediction model is misspecified. The pooling method is recently used to improve forecasting performance with the linear combination of predictive densities of future random variables made by some interesting prediction models which are possibly misspecified. In this paper, we utilize the pooling method to forecast Korea government bond yields with six alternative prediction models four dynamic Nelson-Siegel models, a first-order autoregressive model, and a random walk model. As a result of our out-of-sample forecasting, the constant mixture model of AR(1) and RW model, AR(1)-RW, shows the best forecasting performance overall. In that sense, we find that the pooling method is useful to describe more precisely the dynamics of Korea bond yields by maturity.

Keywords: Dynamic Nelson-Seigel model; Bayesian MCMC method; Model selection; Out-of-sample forecasting (search for similar items in EconPapers)
JEL-codes: C53 F31 F32 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?m ... 00001016826&fileSn=1 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:20:y:2014:i:4:p:76-113

Access Statistics for this article

Economic Analysis (Quarterly) is currently edited by Wook Sohn, Hwan-koo Kang and Jaerang Lee

More articles in Economic Analysis (Quarterly) from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Economic Research Institute ().