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- W2238557970 abstract "Abstract This study extends the affine dynamic Nelson–Siegel model for the inclusion of macroeconomic variables. Five macroeconomic variables are included in affine term structure model, derived under the arbitrage‐free restriction, to evaluate their role in the in‐sample fitting and out‐of‐sample forecasting of the term structure. We show that the relationship between the macroeconomic factors and yield data has an intuitive interpretation, and that there is interdependence between the yield and macroeconomic factors. Moreover, the macroeconomic factors significantly improve the forecast performance of the model. The affine Nelson–Siegel type models outperform the benchmark simple time series forecast models. The out‐of‐sample predictability of the affine Nelson–Siegel model with macroeconomic factors for the short horizon is superior to the simple affine yield model for all maturities, and for longer horizons the former is still compatible to the latter, particularly for medium and long maturities. Copyright © 2015 John Wiley & Sons, Ltd." @default.
- W2238557970 created "2016-06-24" @default.
- W2238557970 creator A5024541113 @default.
- W2238557970 date "2015-11-11" @default.
- W2238557970 modified "2023-10-08" @default.
- W2238557970 title "Affine Term Structure Model with Macroeconomic Factors: Do No-Arbitrage Restriction and Macroeconomic Factors Imply Better Out-of-Sample Forecasts?" @default.
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- W2238557970 doi "https://doi.org/10.1002/for.2378" @default.
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