Forecasting interest rates with shifting endpoints

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Forecasting interest rates with shifting endpoints. / Van Dijk, Dick; Koopman, Siem Jan; Wel, Michel van der; Wright, Jonathan H.

I: Journal of Applied Econometrics, 01.01.2014, s. 693-712.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Harvard

Van Dijk, D, Koopman, SJ, Wel, MVD & Wright, JH 2014, 'Forecasting interest rates with shifting endpoints', Journal of Applied Econometrics, s. 693-712. https://doi.org/10.1002/jae.2358

APA

Van Dijk, D., Koopman, S. J., Wel, M. V. D., & Wright, J. H. (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 693-712. https://doi.org/10.1002/jae.2358

CBE

Van Dijk D, Koopman SJ, Wel MVD, Wright JH. 2014. Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics. 693-712. https://doi.org/10.1002/jae.2358

MLA

Van Dijk, Dick o.a.. "Forecasting interest rates with shifting endpoints". Journal of Applied Econometrics. 2014, 693-712. https://doi.org/10.1002/jae.2358

Vancouver

Van Dijk D, Koopman SJ, Wel MVD, Wright JH. Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics. 2014 jan 1;693-712. https://doi.org/10.1002/jae.2358

Author

Van Dijk, Dick ; Koopman, Siem Jan ; Wel, Michel van der ; Wright, Jonathan H. / Forecasting interest rates with shifting endpoints. I: Journal of Applied Econometrics. 2014 ; s. 693-712.

Bibtex

@article{30b83abf06d34f6a8c356ac67a8f7db1,
title = "Forecasting interest rates with shifting endpoints",
abstract = "We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or {\textquoteleft}shifting endpoint{\textquoteright}. The shifting endpoints are captured using either (i) time series methods (exponential smoothing) or (ii) long-range survey forecasts of either interest rates or inflation and output growth, or (iii) exponentially smoothed realizations of these macro variables. Allowing for shifting endpoints in yield curve factors provides substantial and significant gains in out-of-sample predictive accuracy, relative to stationary and random walk benchmarks. Forecast improvements are largest for long-maturity interest rates and for long-horizon forecasts.",
author = "{Van Dijk}, Dick and Koopman, {Siem Jan} and Wel, {Michel van der} and Wright, {Jonathan H.}",
note = "Campus adgang til artiklen / Campus access to the article",
year = "2014",
month = jan,
day = "1",
doi = "10.1002/jae.2358",
language = "English",
pages = "693--712",
journal = "Journal of Applied Econometrics",
issn = "0883-7252",
publisher = "JohnWiley & Sons Ltd.",

}

RIS

TY - JOUR

T1 - Forecasting interest rates with shifting endpoints

AU - Van Dijk, Dick

AU - Koopman, Siem Jan

AU - Wel, Michel van der

AU - Wright, Jonathan H.

N1 - Campus adgang til artiklen / Campus access to the article

PY - 2014/1/1

Y1 - 2014/1/1

N2 - We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or ‘shifting endpoint’. The shifting endpoints are captured using either (i) time series methods (exponential smoothing) or (ii) long-range survey forecasts of either interest rates or inflation and output growth, or (iii) exponentially smoothed realizations of these macro variables. Allowing for shifting endpoints in yield curve factors provides substantial and significant gains in out-of-sample predictive accuracy, relative to stationary and random walk benchmarks. Forecast improvements are largest for long-maturity interest rates and for long-horizon forecasts.

AB - We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or ‘shifting endpoint’. The shifting endpoints are captured using either (i) time series methods (exponential smoothing) or (ii) long-range survey forecasts of either interest rates or inflation and output growth, or (iii) exponentially smoothed realizations of these macro variables. Allowing for shifting endpoints in yield curve factors provides substantial and significant gains in out-of-sample predictive accuracy, relative to stationary and random walk benchmarks. Forecast improvements are largest for long-maturity interest rates and for long-horizon forecasts.

U2 - 10.1002/jae.2358

DO - 10.1002/jae.2358

M3 - Journal article

AN - SCOPUS:84885351169

SP - 693

EP - 712

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

SN - 0883-7252

ER -