Predictability in the Shape of the Term Structure of Interest Rates
Predictability in the Shape of the Term Structure of Interest Rates
复制标题
利率期限结构的可预测性
DOI：
10.3905/jfi.2005.523089
复制
发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Philippe Priaulet
中科院分区：
文献类型：
--
作者：
F. Fabozzi;L. Martellini;Philippe Priaulet
证据的可预测性在随时间变化的形状的美国利率期限结构的证明使用一个强大的递归建模方法的基础上贝叶斯混合多因素模型。违约价差、股票波动率、短期和远期利率等变量可以用来预测收益率曲线斜率的变化，以及（在较小程度上）其曲率的变化。基于蝶形掉期的系统交易策略表明，收益率曲线形状的可预测性证据在统计学和经济学上都具有重要意义。
Evidence of predictability in the time-varying shape of the U.S. term structure of interest rates is demonstrated using a robust recursive modeling approach based on a Bayesian mixture of multifactor models. Variables such as default spread, equity volatility, and short-term and forward rates can be used to predict changes in the slope of the yield curve and (to a lesser extent) changes in its curvature. Systematic trading strategies based on butterfly swaps reveal that this evidence of predictability in the shape of the yield curve is both statistically and economically significant.