Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach

Francesco Audrino and Kameliya Filipova ()

University of St. Gallen Department of Economics working paper series 2009 from Department of Economics, University of St. Gallen

Abstract: We propose an empirical approach to determine the various economic sources driving the US yield curve. We allow the conditional dynamics of the yield at different maturities to change in reaction to past information coming from several relevant predictor variables. We consider both endogenous, yield curve factors and exogenous, macroeconomic factors as predictors in our model, letting the data themselves choose the most important variables. We find clear, different economic patterns in the local dynamics and regime specification of the yields depending on the maturity. Moreover, we present strong empirical evidence for the accuracy of the model in fitting in-sample and predicting out-of-sample the yield curve in comparison to several alternative approaches.

Keywords: Yield curve modeling and forecasting; Macroeconomic variables; Tree-structured models; Threshold regimes; GARCH; Bagging (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 E43 E44 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2009-05
New Economics Papers: this item is included in nep-ecm, nep-fmk and nep-for
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