Forecasting the yield curve using a dynamic natural cubic spline model

Pan Feng and Junhui Qian

Economics Letters, 2018, vol. 168, issue C, 73-76

Abstract: We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data and evaluate the out-of-sample forecast performance. We find that our method compares favourably with its competitors, especially in the medium and long-term forecasts.

Keywords: Dynamic natural cubic spline model; Chinese yield curve; Forecasting (search for similar items in EconPapers)
JEL-codes: C53 G12 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:168:y:2018:i:c:p:73-76

DOI: 10.1016/j.econlet.2018.04.009

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