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    Forecasting the Yield Curve of Government Bonds: A Comparative Study

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    Author
    He, Chao
    Keyword
    yield curve
    dynamic model
    Kalman filter
    Nelson and Siegel model
    
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    URI
    http://hdl.handle.net/10464/5122
    Abstract
    For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields
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