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عنوان فارسی مقاله:
پیش بینی منحنی بازده برزیل با استفاده از متغیر فوروارد-لوکینگ
عنوان انگلیسی مقاله:
Forecasting the Brazilian yield curve using forward-looking variables
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
5. Robustness to different data frequencies and spans
This section reports the results of two robustness checks. First, we repeat the analysis at the monthly frequency in order to make our results more comparable to previous findings in the literature. Second, we increase the length of the out-of-sample period by considering an alternative sample that starts in 2002. As a result of the longer time span, though, we have to drop longer-term yields, as well as some of the variables that we used to extract diffusion indices. For the monthly analysis, we consider the same data as in Section 4, but looking only at the last week of each month. Table 8 reveals that the NS-FAVAR models perform the best for virtually every yield for any horizon exceeding one month. At the three-month horizon, the NSFAVAR(fwrd) model shines for every maturity, apart from the three-year yield. At the six- and nine-month horizons, the NS-FAVAR models compete head to head. While the NS-FAVAR(fwrd) has the best performance for the short end of the yield curve, the NS-FAVAR(all) produces lower mean absolute forecast errors for the longer-term yields. At longer horizons, the forecasting performance of the NS-FAVAR(fwrd) model is impressive, reducing the mean absolute forecast errors by 20%–30% relative to the RW benchmark. As expected, the extant models in the literature (A-FAVAR, DL-AR, and DNS) are only superior to the simpler AR and RW alternatives at longer horizons. Turning to our increase of the time span, recall that longer-term bonds exist only from 2006, with liquiditypicking up only in 2007. Thus, we restrict our attention to shorter-term yields, with maturities of up to 12 months, as per Faria and Almeida (2014) and Vicente and Tabak (2008). This allows us to increase the time span significantly, starting the sample period in 2002 rather than 2007. However, we have to drop some of the macroeconomic indicators that we employ to extract the diffusion indices, as the list of variables in the Appendix shows that we have information since 2002 for only 113 of the 142 macroeconomic and financial indicators that we consider. We estimate the model initially using data from January 2002 to December 2004, and then assess forecasting performances using data from January 2005 to December 2014.
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کلمات کلیدی:
Items - Forecasting the Brazilian Yield Curve Using Forward-Looking ... econ.qmul.ac.uk/research/workingpapers/2016/items/799.html No. 799: Forecasting the Brazilian Yield Curve Using Forward-Looking Variables. Fausto Vieira , Fundação Getulio Vargas (FGV) Fernando Chague , University ... Forecasting the Brazilian yield curve using forward-looking variables https://www.researchgate.net/.../309455292_Forecasting_the_Brazilian_yield_curve_usi... Feb 4, 2017 - Forecasting the Brazilian yield curve using forward-looking variables on ResearchGate, the professional network for scientists. A dynamic Nelson-Siegel model with forward-looking indicators for the… https://www.slideshare.net/...Brazil/a-dynamic-nelsonsiegel-model-with-forwardlookin... May 2, 2017 - FGV Brazil - Top 10 Think Tank Worldwide and Top Think Tank in Latin .... model with forward-looking indicators for the yield curve in the US. [PDF]Forecasting the Yield Curve with Linear Factor Models - Banco Central https://www.bcb.gov.br/pec/wps/ingl/wps223.pdf Translate this page a MCMC procedure with data from the US and Brazilian markets. We show that ... Keywords: Yield curve forecasting, macroeconomic variables, affine models. .... follows an infinite no-discount forward looking Taylor rule (see Ang et al.,. 2007) ... [PDF]Efficient Yield Curve Estimation and Forecasting in Brazil - Anpec www.anpec.org.br/revista/vol11/vol11n1p27_51.pdf by JF Caldeira - 2010 - Cited by 23 - Related articles on the Brazilian yield curve, where the Diebold-Li model is estimated through the two-step ..... structure using forward rates estimated for the observed maturities. [PDF]MACRO FACTORS AND THE BRAZILIAN YIELD CURVE WITH NO ... repositorio.ipea.gov.br/bitstream/11058/4938/1/DiscussionPaper_171.pdf by MS Matsumura - 2015 - Cited by 5 - Related articles We adapted A&P's model to analyze the yield curve in Brazil, changing ... of the Taylor rule (the Backward-Looking, the Infinite Forward-Looking and. OECD Economic Surveys: Brazil 2011 - Page 91 - Google Books Result https://books.google.com/books?isbn=9264094261 OECD - 2011 ... remuneration is indexed to a forward-looking 3-month interbank interest rate ... Given the leading role of BNDES in Brazilian financial markets and the ... yield curve has become steeper, pension funds will seek assets with longer maturities.
