Forecasting the yield curve for the Euro region

Benjamin Tabak, Alexandre Sollaci, G.M. Gomes and Daniel Cajueiro

Economics Letters, 2012, vol. 117, issue 2, 513-516

Abstract: This paper compares the forecast precision of the Functional Signal plus Noise (FSN), the Dynamic Nelson–Siegel (DL), and a random walk model. The empirical results suggest that both outperform the random walk at short horizons (one-month) and that the FSN model outperforms the DL at the one- and three-months forecasting horizon. The conclusions provided in this paper are important for policy makers, fixed income portfolio managers, financial institutions and academics.

Keywords: European yield curve; Dynamic Nelson–Siegel; Functional signal plus noise; Forecasting; Term structure of interest rates (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Forecasting the Yield Curve for the Euro Region (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:2:p:513-516

DOI: 10.1016/j.econlet.2012.05.056

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