Interest rate dynamic models – evidence from Iberian markets

Article de journal


Auteurs / Editeurs


Domaines de Recherche


Détails sur la publication

Liste des auteurs: Maldonado, I., Pinho, C., Rodríguez de Prado, F., Lobo, C.
Editeur: Revista ESPACIOS
Année de publication: 2018
Journal: Espacios (0798-1015)
Numéro du volume: 39
Numéro de publication: 14
Page d'accueil: 14
ISSN: 0798-1015
Languages: Anglais-Royaume-Uni (EN-GB)


Résumé

In this paper we investigate the yield curve forecasting performance of
dynamic models combining yield curve factors and macroeconomic
variables. We test dynamic models using sovereign debt data, inflation
rate and annual variation of the industrial production index for
Portugal and Spain. We also explore the dynamic correlations between the
yield curve factors of the countries under analysis. Results indicate
that the consideration of macroeconomic factors has a positive
contribution to the improvement of forecasts. The analysis shows a
strong correlation between the two countries level factor and important
changes in the curvature factor correlations associated with
international crisis episodes.


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Dernière mise à jour le 2019-10-08 à 00:30