메뉴 건너뛰기




Volumn 2, Issue , 2013, Pages 385-426

Forecasting Interest Rates

Author keywords

Affine models; Predicting bond returns; Predicting bond yields; Term structure

Indexed keywords


EID: 84881573240     PISSN: 15740706     EISSN: None     Source Type: Book Series    
DOI: 10.1016/B978-0-444-53683-9.00007-4     Document Type: Chapter
Times cited : (65)

References (58)
  • 2
    • 79960383703 scopus 로고    scopus 로고
    • Do interest rate options contain information about excess returns?
    • Almeida Caio, Graveline Jeremy J., Joslin Scott Do interest rate options contain information about excess returns?. Journal of Econometrics 2011, 164:35-44.
    • (2011) Journal of Econometrics , vol.164 , pp. 35-44
    • Almeida, C.1    Graveline, J.J.2    Joslin, S.3
  • 3
    • 84881559984 scopus 로고    scopus 로고
    • Almeida, Caio, Simonsen, Axel, Vicente, José Forecasting bond yields with segmented term structure models. Working Paper, Central Bank of Brazil.
    • Almeida, Caio, Simonsen, Axel, Vicente, José, 2012. Forecasting bond yields with segmented term structure models. Working Paper, Central Bank of Brazil.
    • (2012)
  • 4
    • 55149106349 scopus 로고    scopus 로고
    • The role of no-arbitrage on forecasting: Lessons from a parametric term structure model
    • Almeida Caio, Vicente José The role of no-arbitrage on forecasting: Lessons from a parametric term structure model. Journal of Banking and Finance 2008, 32:2695-2705.
    • (2008) Journal of Banking and Finance , vol.32 , pp. 2695-2705
    • Almeida, C.1    Vicente José2
  • 5
    • 34247346581 scopus 로고    scopus 로고
    • Do macro variables, asset markets or surveys forecast inflation better?
    • Ang Andrew, Bekaert Geert, Wei Min Do macro variables, asset markets or surveys forecast inflation better?. Journal of Monetary Economics 2007, 54:1163-1212.
    • (2007) Journal of Monetary Economics , vol.54 , pp. 1163-1212
    • Ang, A.1    Bekaert, G.2    Wei, M.3
  • 6
    • 41649100866 scopus 로고    scopus 로고
    • The term structure of real rates and expected inflation
    • Ang Andrew, Bekaert Geert, Wei Min The term structure of real rates and expected inflation. Journal of Finance 2008, 63:797-849.
    • (2008) Journal of Finance , vol.63 , pp. 797-849
    • Ang, A.1    Bekaert, G.2    Wei, M.3
  • 7
    • 0037905686 scopus 로고    scopus 로고
    • A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
    • Ang Andrew, Piazzesi Monika A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics 2003, 50:745-787.
    • (2003) Journal of Monetary Economics , vol.50 , pp. 745-787
    • Ang, A.1    Piazzesi, M.2
  • 8
    • 84881566429 scopus 로고
    • Reverse engineering the yield curve. NBER Working Paper, 4676.
    • Backus, David K., Zin, Stanley E., 1994. Reverse engineering the yield curve. NBER Working Paper, 4676.
    • (1994)
    • Backus, D.K.1    Zin, S.E.2
  • 9
    • 84881576966 scopus 로고    scopus 로고
    • Term premia and the news. Federal Reserve Bank of San Francisco, Working Paper, 2011-03.
    • Bauer, Michael D., 2011. Term premia and the news. Federal Reserve Bank of San Francisco, Working Paper, 2011-03.
    • (2011)
    • Bauer, M.D.1
  • 10
    • 0031161627 scopus 로고    scopus 로고
    • On biases in tests of the expectations hypothesis of the term structure of interest rates
    • Bekaert Geert, Hodrick Robert J., Marshall David A. On biases in tests of the expectations hypothesis of the term structure of interest rates. Journal of Financial Economics 1997, 44:309-348.
    • (1997) Journal of Financial Economics , vol.44 , pp. 309-348
    • Bekaert, G.1    Hodrick, R.J.2    Marshall, D.A.3
  • 11
    • 84881608771 scopus 로고    scopus 로고
    • Meeks Roland, The dynamics of economic functions: modelling and forecasting the yield curve. Working Paper, Federal Reserve Bank of Dallas.
    • Bowsher, Clive G., Meeks, Roland, 2008. The dynamics of economic functions: modelling and forecasting the yield curve. Working Paper, Federal Reserve Bank of Dallas.
    • (2008)
    • Bowsher, C.G.1
  • 12
    • 66049100957 scopus 로고    scopus 로고
    • Consumption-based asset pricing in George Constantinides
    • North-Holland, Amsterdam
    • Campbell John Y. Consumption-based asset pricing in George Constantinides. Handbook of the Economics of Finance 2003, vol. 1B:803-887. North-Holland, Amsterdam.
    • (2003) Handbook of the Economics of Finance , vol.1 , pp. 803-887
    • Campbell, J.Y.1
  • 13
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: a consumption-based explanation of aggregate stock market behavior
    • Campbell John Y., Cochrane John H. By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 1999, 107:205-251.
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 14
    • 84936220056 scopus 로고
    • Cointegration and tests of present value models
    • Campbell John Y., Shiller Robert J. Cointegration and tests of present value models. Journal of Political Ecoomy 1987, 95:1062-1088.
    • (1987) Journal of Political Ecoomy , vol.95 , pp. 1062-1088
    • Campbell, J.Y.1    Shiller, R.J.2
  • 15
    • 84959821636 scopus 로고
    • Yield spreads and interest rate movements: a bird's eye view
    • Campbell John Y., Shiller Robert J. Yield spreads and interest rate movements: a bird's eye view. Review of Economic Studies 1991, 58:495-514.
    • (1991) Review of Economic Studies , vol.58 , pp. 495-514
    • Campbell, J.Y.1    Shiller, R.J.2
  • 16
    • 79955459040 scopus 로고    scopus 로고
    • Forecasting the yield curve using priors from no-arbitrage affine term structure models
    • Carriero Andrea Forecasting the yield curve using priors from no-arbitrage affine term structure models. International Economic Review 2011, 52:425-460.
    • (2011) International Economic Review , vol.52 , pp. 425-460
    • Carriero, A.1
  • 17
    • 84860882664 scopus 로고    scopus 로고
    • Forecasting government bond yields with large Bayesian vector autoregressions
    • Carriero Andrea, Kapetanios George, Marcellino Massimiliano Forecasting government bond yields with large Bayesian vector autoregressions. Journal of Banking and Finance 2012, 36:2026-2047.
    • (2012) Journal of Banking and Finance , vol.36 , pp. 2026-2047
    • Carriero, A.1    Kapetanios, G.2    Marcellino, M.3
  • 18
    • 33845288581 scopus 로고    scopus 로고
    • Market price of risk specifications for affine models: Theory and evidence
    • Cheridito Patrick, Filipović Damir, Kimmel Robert L. Market price of risk specifications for affine models: Theory and evidence. Journal of Financial Economics 2007, 83:123-170.
    • (2007) Journal of Financial Economics , vol.83 , pp. 123-170
    • Cheridito, P.1    Filipović, D.2    Kimmel, R.L.3
  • 19
    • 84865571951 scopus 로고    scopus 로고
    • The term structure of inflation expectations
    • Chernov Mikhail, Mueller Philippe The term structure of inflation expectations. Journal of Financial Economics 2012, 106:367-394.
    • (2012) Journal of Financial Economics , vol.106 , pp. 367-394
    • Chernov, M.1    Mueller, P.2
  • 20
    • 79960381392 scopus 로고    scopus 로고
    • The affine arbitrage-free class of Nelson-Siegel term structure models
    • Christensen Jens H.E., Diebold Francis X., Rudebusch Glenn D. The affine arbitrage-free class of Nelson-Siegel term structure models. Journal of Econometrics 2011, 164:4-20.
    • (2011) Journal of Econometrics , vol.164 , pp. 4-20
    • Christensen, J.H.E.1    Diebold, F.X.2    Rudebusch, G.D.3
  • 21
    • 77955744080 scopus 로고    scopus 로고
    • Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields
    • Christensen Jens H.E., Lopez Jose, Rudebusch Glenn D. Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields. Journal of Money, Credit, and Banking 2010, 42:143-178.
    • (2010) Journal of Money, Credit, and Banking , vol.42 , pp. 143-178
    • Christensen, J.H.E.1    Lopez, J.2    Rudebusch, G.D.3
  • 22
    • 84881602689 scopus 로고    scopus 로고
    • Cieslak, Anna, Povala, Pavol, Understanding bond risk premia. Working Paper, Kellogg School of Management.
    • Cieslak, Anna, Povala, Pavol, 2011. Understanding bond risk premia. Working Paper, Kellogg School of Management.
    • (2011)
  • 23
    • 84881565876 scopus 로고    scopus 로고
    • Advances in Forecast Evaluation. This Handbook.
    • Clark, Todd E., McCracken, Michael W., 2013. Advances in Forecast Evaluation. This Handbook.
    • (2013)
    • Clark, T.E.1    McCracken, M.W.2
  • 25
    • 84881569011 scopus 로고    scopus 로고
    • Piazzesi, Monika, Decomposing the yield curve. Working Paper, Chicago Booth.
    • Cochrane, John H., Piazzesi, Monika, 2008. Decomposing the yield curve. Working Paper, Chicago Booth.
    • (2008)
    • Cochrane, J.H.1
  • 26
    • 0041669393 scopus 로고    scopus 로고
    • Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility
    • Collin-Dufresne Pierre, Goldstein Robert S. Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility. Journal of Finance 2002, 57:1685-1730.
    • (2002) Journal of Finance , vol.57 , pp. 1685-1730
    • Collin-Dufresne, P.1    Goldstein, R.S.2
  • 27
    • 84869358922 scopus 로고    scopus 로고
    • Time-varying risk premiums and the output gap
    • Cooper Ilan, Priestly Richard Time-varying risk premiums and the output gap. Review of Financial Studies 2009, 22:2801-2833.
    • (2009) Review of Financial Studies , vol.22 , pp. 2801-2833
    • Cooper, I.1    Priestly, R.2
  • 28
    • 0008766361 scopus 로고    scopus 로고
    • Specification analysis of affine term structure models
    • Dai Qiang, Singleton Kenneth J. Specification analysis of affine term structure models. Journal of Finance 2000, 55:1943-1978.
    • (2000) Journal of Finance , vol.55 , pp. 1943-1978
    • Dai, Q.1    Singleton, K.J.2
  • 29
    • 34548535390 scopus 로고    scopus 로고
    • Yang, Wei, Regime shifts in a dynamic term structure model of US treasury bond yields. Review of Financial Studies 20
    • Dai, Qiang, Singleton, Kenneth J., Yang, Wei, Regime shifts in a dynamic term structure model of US treasury bond yields. Review of Financial Studies 20, 1669-1706.
    • Dai, Q.1    Singleton, K.J.2
  • 30
    • 31344448314 scopus 로고    scopus 로고
    • Forecasting the term structure of government bond yields
    • Diebold Francis X., Li Canlin Forecasting the term structure of government bond yields. Journal of Econometrics 2006, 130:337-364.
    • (2006) Journal of Econometrics , vol.130 , pp. 337-364
    • Diebold, F.X.1    Li, C.2
  • 31
    • 4344586181 scopus 로고    scopus 로고
    • Evaluating an alternative risk preference in affine term structure models
    • Duarte Jefferson Evaluating an alternative risk preference in affine term structure models. Review of Financial Studies 2004, 17:379-404.
    • (2004) Review of Financial Studies , vol.17 , pp. 379-404
    • Duarte, J.1
  • 32
    • 0041589839 scopus 로고    scopus 로고
    • Term premia and interest rate forecasts in affine models
    • Duffee Gregory R. Term premia and interest rate forecasts in affine models. Journal of Finance 2002, 57:405-443.
    • (2002) Journal of Finance , vol.57 , pp. 405-443
    • Duffee, G.R.1
  • 33
    • 84881574522 scopus 로고    scopus 로고
    • Sharpe ratios in term structure models. Working Paper, Johns Hopkins.
    • Duffee, Gregory R., 2010. Sharpe ratios in term structure models. Working Paper, Johns Hopkins.
    • (2010)
    • Duffee, G.R.1
  • 34
    • 80051969492 scopus 로고    scopus 로고
    • Information in (and not in) the term structure
    • Duffee Gregory R. Information in (and not in) the term structure. Review of Financial Studies 2011, 24:2895-2934.
    • (2011) Review of Financial Studies , vol.24 , pp. 2895-2934
    • Duffee, G.R.1
  • 35
    • 84881595439 scopus 로고    scopus 로고
    • Forecasting with the term structure: the role of no-arbitrage restrictions. Working Paper, Johns Hopkins.
    • Duffee, Gregory R., 2011b. Forecasting with the term structure: the role of no-arbitrage restrictions. Working Paper, Johns Hopkins.
    • (2011)
    • Duffee, G.R.1
  • 36
    • 84873442765 scopus 로고    scopus 로고
    • Bond pricing and the macroeconomy
    • Elsevier, G.M. Constantinides, M. Harris, R. Stulz (Eds.)
    • Duffee Gregory R. Bond pricing and the macroeconomy. Handbook of the Economics of Finance 2013, vol. 2B:907-967. Elsevier. G.M. Constantinides, M. Harris, R. Stulz (Eds.).
    • (2013) Handbook of the Economics of Finance , vol.2 , pp. 907-967
    • Duffee, G.R.1
  • 37
    • 0030305091 scopus 로고    scopus 로고
    • A yield-factor model of interest rates
    • Duffie Darrell, Kan Rui A yield-factor model of interest rates. Mathematical Finance 1996, 6:379-406.
    • (1996) Mathematical Finance , vol.6 , pp. 379-406
    • Duffie, D.1    Kan, R.2
  • 38
    • 0000842941 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework
    • Epstein Larry G., Zin Stanley E. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 1989, 57:937-969.
    • (1989) Econometrica , vol.57 , pp. 937-969
    • Epstein, L.G.1    Zin, S.E.2
  • 39
    • 0000064728 scopus 로고
    • The information in long-maturity forward rates
    • Fama Eugene F., Bliss Robert R. The information in long-maturity forward rates. American Economic Review 1987, 77:680-692.
    • (1987) American Economic Review , vol.77 , pp. 680-692
    • Fama, E.F.1    Bliss, R.R.2
  • 40
    • 84856272916 scopus 로고    scopus 로고
    • Term structure forecasting: no-arbitrage restrictions versus large information set
    • Favero Carlo A., Niu Linlin, Sala Luca Term structure forecasting: no-arbitrage restrictions versus large information set. Journal of Forecasting 2012, 31:124-156.
    • (2012) Journal of Forecasting , vol.31 , pp. 124-156
    • Favero, C.A.1    Niu, L.2    Sala, L.3
  • 41
    • 0030242133 scopus 로고    scopus 로고
    • Modeling the conditional distribution of interest rates as a regime-switching process
    • Gray Stephen F. Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics 1996, 42:27-62.
    • (1996) Journal of Financial Economics , vol.42 , pp. 27-62
    • Gray, S.F.1
  • 44
    • 0000789996 scopus 로고
    • Dividend yields and expected stock returns: alternative procedures for inference and measurement
    • Hodrick Robert J. Dividend yields and expected stock returns: alternative procedures for inference and measurement. Review of Financial Studies 1992, 5:357-386.
    • (1992) Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.J.1
  • 45
    • 84881595014 scopus 로고    scopus 로고
    • Joslin, Scott, Priebsch, Marcel, Singleton, Kenneth J. Risk premiums in dynamic term structure models with unspanned macro risks. Working Paper, Stanford GSB
    • Joslin, Scott, Priebsch, Marcel, Singleton, Kenneth J., 2010. Risk premiums in dynamic term structure models with unspanned macro risks. Working Paper, Stanford GSB.
    • (2010)
  • 46
    • 79952124936 scopus 로고    scopus 로고
    • A new perspective on Gaussian dynamic term structure models
    • Joslin Scott, Singleton Kenneth J., Zhu Haoxiang A new perspective on Gaussian dynamic term structure models. Review of Financial Studies 2011, 24:926-970.
    • (2011) Review of Financial Studies , vol.24 , pp. 926-970
    • Joslin, S.1    Singleton, K.J.2    Zhu, H.3
  • 47
    • 84881608156 scopus 로고
    • The cyclical behavior of the term structure of interest rates. NBER, Occasional Paper 91.
    • Kessel, Reuben A., 1965. The cyclical behavior of the term structure of interest rates. NBER, Occasional Paper 91.
    • (1965)
    • Kessel Reuben, A.1
  • 48
    • 84881592859 scopus 로고    scopus 로고
    • Orphpanides, Athanasios, Term structure estimation with survey data on interest rate forecasts. FEDS working Paper, 2005-48, Federal Reserve Board.
    • Kim, Don H., Orphpanides, Athanasios, 2005. Term structure estimation with survey data on interest rate forecasts. FEDS working Paper, 2005-48, Federal Reserve Board.
    • (2005)
    • Kim Don, H.1
  • 49
    • 84881577375 scopus 로고    scopus 로고
    • Koopman, Siem Jan, van der Wel, Michel, Forecasting the US term structure of interest rates using a macroeconomic smooth factor dynamic model. Working Paper, Tinbergen Institute.
    • Koopman, Siem Jan, van der Wel, Michel, 2011. Forecasting the US term structure of interest rates using a macroeconomic smooth factor dynamic model. Working Paper, Tinbergen Institute.
    • (2011)
  • 50
  • 53
  • 54
    • 85052164848 scopus 로고    scopus 로고
    • A factor analysis of bond risk premia
    • Chapman and Hall, Boca Raton, FL, A. Ullah, D. Giles (Eds.)
    • Ludvigson Sydney C., Ng Serena A factor analysis of bond risk premia. Handbook of Empirical Economics and Finance 2010, 313-372. Chapman and Hall, Boca Raton, FL. A. Ullah, D. Giles (Eds.).
    • (2010) Handbook of Empirical Economics and Finance , pp. 313-372
    • Ludvigson, S.C.1    Ng, S.2
  • 55
    • 84881597220 scopus 로고    scopus 로고
    • Modelling the term structure. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics
    • Martin, Vance, Hall, Anthony D., Pagan, Adrian R., 1996. Modelling the term structure. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics, vol. 14, pp. 91-118.
    • (1996) , vol.14 , pp. 91-118
    • Martin, V.1    Hall, A.D.2    Pagan, A.R.3
  • 56
    • 0001491925 scopus 로고
    • Parsimonious modeling of yield curves
    • Nelson Charles R., Siegel Andrew F. Parsimonious modeling of yield curves. Journal of Business 1987, 60:473-489.
    • (1987) Journal of Business , vol.60 , pp. 473-489
    • Nelson, C.R.1    Siegel, A.F.2
  • 58
    • 0001295081 scopus 로고
    • Interest-rate risk and the term structure of interest rates
    • Van Horne James Interest-rate risk and the term structure of interest rates. Journal of Political Economy 1965, 73:344-351.
    • (1965) Journal of Political Economy , vol.73 , pp. 344-351
    • Van Horne, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.