Forecasting bond yields with segmented term structure models

dc.contributor.affiliationFGV
dc.contributor.authorAlmeida, Caio Ibsen Rodrigues de
dc.contributor.authorArdison, Kym Marcel Martins
dc.contributor.authorGlasman, Daniela Kubudi
dc.contributor.authorSimonsen, Axel André
dc.contributor.authorVicente, José
dc.date.accessioned2018-05-10T13:37:52Z
dc.date.available2018-05-10T13:37:52Z
dc.date.issued2018-02
dc.descriptionConteúdo online de acesso restrito pelo editorpor
dc.description.abstractInspired by the preferred habitat theory, we propose parametric interest rate models that split the term structure into segments. The proposed models are compared with successful term structure benchmarks based on out-of-sample forecasting exercises using U.S. Treasury data. We show that segmentation can improve long-horizon term structure forecasts when compared with nonsegmentation. Additionally, introducing cointegration in latent factor dynamics of segmented models makes them particularly strong to forecast short-maturity yields. Better forecasting is justified by the segmented models' ability to accommodate idiosyncratic shocks in the cross-section of yields.eng
dc.description.sponsorshipCNPq; FAPERJ; ANBIMApor
dc.format.extentp. 1-33
dc.identifierhttp://dx.doi.org/10.1093/jjfinec/nbx002
dc.identifier.WoS000422967500001
dc.identifier.doi10.1093/jjfinec/nbx002
dc.identifier.issn1479-8409
dc.identifier.urihttps://hdl.handle.net/10438/23850
dc.language.isoeng
dc.publisherBanco Central do Brasilpor
dc.relation.ispartofseriesWorking paper serieseng
dc.rights.accessRightsopenAccesseng
dc.sourceWeb of Science
dc.subjectError correction modeleng
dc.subjectExponential splineseng
dc.subjectLocal shockseng
dc.subjectModel selectioneng
dc.subjectPreferred habitat theoryeng
dc.subjectModelos segmentadospor
dc.subjectPrevisão de curva de rendimentopor
dc.subject.areaFinançaspor
dc.subject.bibliodataTaxas de jurospor
dc.subject.bibliodataCapital (Economia) - Rendimentopor
dc.titleForecasting bond yields with segmented term structure modelseng
dc.typeArticle (Journal/Review)eng
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