Interest rate dynamic models: Evidence from Iberian markets
In this paper we investigate the yield curve forecasting performance of dynamic models combining yield curve factors and macroeconomic variables. We test dynamic models using sovereign debt data, inflation rate and annual variation of the industrial production index for Portugal and Spain. We also e...
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| Other Authors: | , , |
| Format: | article |
| Language: | eng |
| Published: |
2018
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| Subjects: | |
| Online Access: | http://hdl.handle.net/11328/2343 |
| Country: | Portugal |
| Oai: | oai:repositorio.uportu.pt:11328/2343 |
| Summary: | In this paper we investigate the yield curve forecasting performance of dynamic models combining yield curve factors and macroeconomic variables. We test dynamic models using sovereign debt data, inflation rate and annual variation of the industrial production index for Portugal and Spain. We also explore the dynamic correlations between the yield curve factors of the countries under analysis. Results indicate that the consideration of macroeconomic factors has a positive contribution to the improvement of forecasts. The analysis shows a strong correlation between the two countries level factor and important changes in the curvature factor correlations associated with international crisis episodes. |
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