Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models

DOI10.1016/j.jedc.2019.103723zbMath1425.91319OpenAlexW2921192122WikidataQ127390769 ScholiaQ127390769MaRDI QIDQ2338517

Manuela Pedio, Massimo Guidolin

Publication date: 21 November 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103723

zbMATH Keywords

term structure of interest ratesregime switchingunconventional monetary policybutterfly strategiesdynamic Nelson-Siegel factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises ⋮ The effects of conventional and unconventional monetary policy on forecasting the yield curve ⋮ A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US

Cites Work

• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• A joint econometric model of macroeconomic and term-structure dynamics
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• Forecasts of US short-term interest rates: a flexible forecast combination approach
• The yield curve and the macro-economy across time and frequencies
• Evolving macroeconomic perceptions and the term structure of interest rates
• The affine arbitrage-free class of Nelson-Siegel term structure models
• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
• Analysis of time series subject to changes in regime
• A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
• Measuring the stance of monetary policy in zero lower bound environments
• Asymptotic Inference about Predictive Ability

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