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Article: Forecasting the term structure of Chinese Treasury yields

TitleForecasting the term structure of Chinese Treasury yields
Authors
KeywordsChinese Treasury yields
Dynamic model
Nelson-Siegel model
Term structure
Issue Date2012
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/pacfin
Citation
Pacific Basin Finance Journal, 2012, v. 20 n. 5, p. 639-659 How to Cite?
AbstractThis paper is the first to study the forecasting of the term structure of Chinese Treasury yields. We extend the Nelson-Siegel class of models to estimate and forecast the term structure of Chinese Treasury yields. Our empirical analysis shows that the models fit the data very well, and that more flexible specifications dramatically improve in-sample fitting performance. In particular, the model which enhances slope fitting is the best in capturing the Chinese yield curve dynamics. We also demonstrate that time-varying factors of the models may be interpreted as the level, slope and curvature of the yield curve. Furthermore, we use five dynamic processes for the time-varying factors to forecast the term structure at both short and long horizons. Our forecasts are much more accurate than the random walk, the Cochrane-Piazzesi regression and the AR(1) benchmark models at long horizons. © 2012 Elsevier B.V.
Persistent Identifierhttp://hdl.handle.net/10722/152926
ISSN
2015 Impact Factor: 0.938
2015 SCImago Journal Rankings: 0.541
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLuo, Xen_HK
dc.contributor.authorHan, Hen_HK
dc.contributor.authorZhang, JEen_HK
dc.date.accessioned2012-07-16T09:51:53Z-
dc.date.available2012-07-16T09:51:53Z-
dc.date.issued2012en_HK
dc.identifier.citationPacific Basin Finance Journal, 2012, v. 20 n. 5, p. 639-659en_HK
dc.identifier.issn0927-538Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/152926-
dc.description.abstractThis paper is the first to study the forecasting of the term structure of Chinese Treasury yields. We extend the Nelson-Siegel class of models to estimate and forecast the term structure of Chinese Treasury yields. Our empirical analysis shows that the models fit the data very well, and that more flexible specifications dramatically improve in-sample fitting performance. In particular, the model which enhances slope fitting is the best in capturing the Chinese yield curve dynamics. We also demonstrate that time-varying factors of the models may be interpreted as the level, slope and curvature of the yield curve. Furthermore, we use five dynamic processes for the time-varying factors to forecast the term structure at both short and long horizons. Our forecasts are much more accurate than the random walk, the Cochrane-Piazzesi regression and the AR(1) benchmark models at long horizons. © 2012 Elsevier B.V.en_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/pacfinen_HK
dc.relation.ispartofPacific Basin Finance Journalen_HK
dc.subjectChinese Treasury yieldsen_HK
dc.subjectDynamic modelen_HK
dc.subjectNelson-Siegel modelen_HK
dc.subjectTerm structureen_HK
dc.titleForecasting the term structure of Chinese Treasury yieldsen_HK
dc.typeArticleen_HK
dc.identifier.emailZhang, JE: jinzhang@hku.hken_HK
dc.identifier.authorityZhang, JE=rp01125en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.pacfin.2012.02.002en_HK
dc.identifier.scopuseid_2-s2.0-84858957774en_HK
dc.identifier.hkuros201035en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84858957774&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume20en_HK
dc.identifier.issue5en_HK
dc.identifier.spage639en_HK
dc.identifier.epage659en_HK
dc.identifier.isiWOS:000307372400001-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridLuo, X=36451930100en_HK
dc.identifier.scopusauthoridHan, H=55141962500en_HK
dc.identifier.scopusauthoridZhang, JE=7601346659en_HK
dc.identifier.citeulike10475077-

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