Predictability of Interest Rates and Interest-Rate Portfolios
Predictability of Interest Rates and Interest-Rate Portfolios
复制标题
利率和利率投资组合的可预测性
DOI：
10.2139/ssrn.920673
复制
发表时间：
2006
影响因子：
3
通讯作者：
Liuren Wu
中科院分区：
文献类型：
--
作者：
Turan G. Bali;Massoud Heidari;Liuren Wu
由于利率接近单位根的行为，个别利率序列的变化是难以预测的。我们提出了一种创新的方法，应用动态期限结构模型来预测利率组合的未来变化。而不是直接预测的运动的基础上估计的因素动态，我们使用的动态期限结构模型作为分解工具，并将每个利率序列分解成两个组成部分：一个持久的组件捕获的动态因素，和一个强烈的均值回复组件的模型的定价残差。通过这种分解，我们形成了对持续动态因素一阶中性的利率组合，但暴露于强均值回复残差。我们表明，这些利率组合的变化的可预测性是显着的统计和经济。我们探讨了未来利率模型的可预测性的含义。
Due to the near unit-root behavior of interest rates, changes in individual interest-rate series are difficult to forecast. We propose an innovative way of applying dynamic term structure models to predict future changes in interest-rate portfolios. Instead of directly forecasting the movements based on the estimated factor dynamics, we use the dynamic term structure model as a decomposition tool and decompose each interest-rate series into two components: a persistent component captured by the dynamic factors, and a strongly mean-reverting component given by the pricing residuals of the model. With this decomposition, we form interest-rate portfolios that are first-order neutral to the persistent dynamic factors, but are exposed to the strongly mean-reverting residuals. We show that the predictability on the changes of these interest-rate portfolios is significant both statistically and economically. We explore the implications of the predictability in future interest-rate modeling.