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The effects of monetary policy regime shifts on the term structure of interest rates
Abdymomunov, Azamat,Kang, Kyu Ho Walter de Gruyter GmbH 2015 STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS Vol.19 No.2
<B>Abstract</B><P>We investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy and price of risk. Our results for US data from 1985 through 2008 indicate that (</P>
Can credit spreads help predict a yield curve?
Abdymomunov, A.,Kang, K.H.,Kim, K.J. Butterworth Scientific Limited 2016 JOURNAL OF INTERNATIONAL MONEY AND FINANCE - Vol.64 No.-
In this paper we investigate whether information in credit spreads helps improve the forecasts of government bond yields. To do this, we propose and estimate a joint dynamic Nelson-Siegel (DNS) model of the U.S. Treasury yield curve and the credit spread curve. The model accounts for the possibility of regime changes in yield curve dynamics and incorporates a zero lower bound constraint on yields. We show that our joint model produces more accurate out-of-sample density forecasts of bond yields than does the yield-only DNS model. In addition, we demonstrate that incorporating regime changes and a zero lower bound constraint is essential for forecast improvements.