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Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?

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  • Wali Ullah
  • Yoshihiko Tsukuda
  • Yasumasa Matsuda

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  • Wali Ullah & Yoshihiko Tsukuda & Yasumasa Matsuda, 2013. "Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 702-723, December.
    • Handle: RePEc:wly:jforec:v:32:y:2013:i:8:p:702-723
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    File URL: http://hdl.handle.net/10.1002/for.2266
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    Cited by:

    1. Wali Ullah & Yasumasa Matsuda, 2014. "Generalized Nelson-Siegel Term Structure Model : Do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast?," TERG Discussion Papers 312, Graduate School of Economics and Management, Tohoku University.
    2. Wali Ullah, 2020. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 59(3), pages 1243-1284, September.
    3. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    6. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & M. Hasan Yilmaz, 2021. "Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1214-1229, November.
    8. Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2014. "Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(3), pages 546-572, March.
    9. repec:hum:wpaper:sfb649dp2016-006 is not listed on IDEAS
    10. Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2015. "Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 876-904, April.
    11. Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2013. "Term Structure Modeling and Forecasting of Government Bond Yields," Economic Papers, The Economic Society of Australia, vol. 32(4), pages 535-560, December.

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