Forecasting the Yield Curve for the Euro Region

Benjamin Tabak, Daniel Cajueiro and Alexandre Sollaci

No 247, Working Papers Series from Central Bank of Brazil, Research Department

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 the FSN model outperforms the DL at the one-month forecasting horizon. The conclusions provided in this paper are important for policy makers, fixed income portfolio managers, financial institutions and academics.

Date: 2011-08
New Economics Papers: this item is included in nep-cba, nep-eec and nep-for
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Related works:
Journal Article: Forecasting the yield curve for the Euro region (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:247

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