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Forecasting Term Structure Of The Japanese Bond Yields In The Presence Of A Liquidity Trap, Albert K. Tsui, Junxiang Wu, Zhaoyong Zhang, Zhongxi Zheng
Forecasting Term Structure Of The Japanese Bond Yields In The Presence Of A Liquidity Trap, Albert K. Tsui, Junxiang Wu, Zhaoyong Zhang, Zhongxi Zheng
Research outputs 2022 to 2026
The Nelson–Siegel (NS) model is widely used in practice to fit the term structure of interest rates largely due to its high efficacy in the in-sample fit and out-of-sample forecasting of bond yields. In this paper, we compare forecasting performances of estimated yields from the Nelson–Siegel-based models and some simpler time series models, using the daily, weekly, and monthly data during a prolong period of liquidity trap in Japan. We find that the out-of-sample expanding window forecasts by NS-based models in general perform less satisfactory than the competitor models. However, the NS-based models can be useful in forecasting yields over …
Modelling The Term Structure Of Japanese Bond Yields With The Nelson-Siegel Model, A. Tsui, J.X. Wu, Zhaoyong Zhang
Modelling The Term Structure Of Japanese Bond Yields With The Nelson-Siegel Model, A. Tsui, J.X. Wu, Zhaoyong Zhang
Research outputs 2013
The Nelson-Siegel (1987) (NS) model has been credited for its high efficacy in the in-sample fitting and out-of-sample forecasting of the term structures of interest rates. The term structure of interest rates, popularly known as the yield curve, is a static function that relates the time-to-maturity to the yield-to maturity for a sample of bonds at a given point in time. The conventional way of measuring the term structure is by means of the spot rate curve, or yield curve, on zero-coupon bonds. Yet in reality, the entire term structure is not directly observable, which gives rise to the need …