Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution

IF 6.9 2区经济学 Q1 ECONOMICS

International Journal of Forecasting Pub Date : 2024-05-07 DOI:10.1016/j.ijforecast.2024.04.006

Jiazi Chen , Zhiwu Hong , Linlin Niu

引用次数: 0

Abstract

An extended dynamic Nelson–Siegel (DNS) model is developed with an additional functional demographic (FD) factor that considers the overall demographic age distribution as a persistent end-shifting driving force. The FD factor in the extended DNS model improves the accuracy of the yield curve forecast by reducing both bias and variance compared with the random walk model, the DNS model, the DNS model with a simple demographic factor of a middle-to-young age ratio, and a benchmark end-shifting model. The model with an unspanned FD factor performs substantially better than the alternative models for most maturities at forecast horizons between one and five years.

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预测端点移动的利率：功能性人口年龄分布的作用

我们开发了一个扩展的动态内尔松-西格尔（DNS）模型，该模型增加了一个人口功能（FD）因子，将整体人口年龄分布视为一种持续的末端转移驱动力。与随机漫步模型、DNS 模型、带有中青年年龄比这一简单人口因素的 DNS 模型和基准末端移动模型相比，扩展 DNS 模型中的 FD 因子通过减少偏差和方差提高了收益率曲线预测的准确性。在 1 至 5 年的预测期限内，对于大多数期限的收益率曲线，采用无跨度 FD 因子的模型要比其他模型好得多。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Forecasting Multiple-

CiteScore

17.10

自引率

11.40%

发文量

189

审稿时长

77 days

期刊介绍： The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.