Working Paper
Term structure forecasting using macro factors and forecast combination
De Pooter, Michiel; van Dijk, Dick; Ravazzolo, Francesco (2010)
We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S. interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our results confirm and extend results found in previous literature that adding macroeconomic information, through factors extracted from a large number of individual series, tends to improve interest rate forecasts. We then show, however, that the predictive power of individual models varies over time ...
International Finance Discussion Papers , Paper 993