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

Yuhuang Shang and Tingguo Zheng

Economic Modelling, 2018, vol. 68, issue C, 145-154

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.

Keywords: Yield curve; Forecast; Macro factor; State space model; Mixed-frequency affine model (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:68:y:2018:i:c:p:145-154

DOI: 10.1016/j.econmod.2017.07.002

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