Forecasting Yield Curves with Survey Information

JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163

https://doi.org/10.3905/jpm.2012.38.3.149

Posted: 21 May 2019

See all articles by Jack Clark Francis

Jack Clark Francis

Zicklin School of Business, Baruch College

Jian Hua

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Date Written: March 30, 2012

Abstract

Campbell and Shiller [1991], Cochrane and Piazzesi [2005], Diebold and Li [2006] 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

Suggested Citation

Francis, Jack Clark and Hua, Jian, Forecasting Yield Curves with Survey Information (March 30, 2012). JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163. Available at SSRN: https://ssrn.com/abstract=2587442

Jack Clark Francis (Contact Author)

Zicklin School of Business, Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States
646-312-3462 (Phone)

Jian Hua

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )

17 Lexington Avenue
New York, NY 10010
United States

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