Forecasting economic activity from yield curve factors
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- 作者：Efthymios Argyropoulos ; efargyrop06@aueb.gr" class="auth_mail" title="E-mail the corresponding author ; Elias Tzavalis etzavalis@aueb.gr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Forecasting economic activity ; Yield curve factors ; Nelson&ndash ; Siegel term structure models ; Kalman filter
- 刊名：The North American Journal of Economics and Finance
- 出版年：2016
- 出版时间：April 2016
- 年：2016
- 卷：36
- 期：Complete
- 页码：293-311
- 全文大小：1533 K
文摘
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We decompose the yield curve into the slope and curvature factors.
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These factors contain more information on economic activity than yield slope.
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The slope factor contains information about future business cycle conditions.
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The curvature factor captures independent changes in current monetary policy.
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The out of sample performance of the model confirms our in sample results.