Forecasting Yield Curves with Survey Information
JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163
Posted: 21 May 2019
Date Written: March 30, 2012
Campbell and Shiller , Cochrane and Piazzesi , Diebold and Li  and many others have shown that today's yield curve possesses significant information about the dynamics of future yields. Vector autoregression (VAR) models can forecast interest rates with different maturities, but these forecasts can contain arbitrage opportunities. To avoid arbitrage it is important to use affine term structure models. This paper investigates the expectations of professional economic forecasters for the purpose of out-of-sample forecasting. The results suggest that survey data from professional economic forecasters can generate significant improvements in interest rate forecasts up to one year ahead.
Keywords: Yield curve, professional economic forecasters, interest rate forecast
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