Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis
Rangan Gupta (),
Tahir Suleman and
Additional contact information
Joao Caldeira: Department of Economics, Universidade Federal do Rio Grande do Sul and CNPq, Brazil
Tahir Suleman: School of Economics and Finance, Victoria University of Wellington & School of Business, Wellington Institute of Technology, New Zealand
Hudson Torrent: Department of Statistics, Universidade Federal do Rio Grande do Sul, Brazil
No 201911, Working Papers from University of Pretoria, Department of Economics
In this paper, we develop a non-parametric functional data analysis (NP-FDA) model to forecast the term-structure of Brazil, Russia, India, China and South Africa (BRICS). We use daily data over the period of January 1, 2010 to December 31, 2016. We find that, while it is in general difficult to beat the random-walk model in the shorter-horizons, at longer-runs our proposed NP-FDA approach outperforms not only the random-walk model, but also other popular competitors used in term-structure forecasting literature. Our results have important implications for both policymakers aiming to stabilize the economy, and for optimal portfolio allocation decisions of financial market agents.
Keywords: Functional data analysis; yield curve forecasting; performance evaluation; BRICS (search for similar items in EconPapers)
JEL-codes: C53 E43 G17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-for and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201911
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().