Forecasting the Yield Curve With Macroeconomic Variables
This paper compares the accuracy of interest rates forecasts from dynamic, affine yield curve models, also those that take into account the correlation of latent factors and macroeconomic variables. The empirical results suggest that the affine models are better in explaining future movements in int...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SGH Warsaw School of Economics, Collegium of Economic Analysis
2016-05-01
|
| Series: | Econometric Research in Finance |
| Online Access: | https://erfin.org/journal/index.php/erfin/article/view/1 |