期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：The dynamic behavior of the term structure of interest rates is difficult to replicate withmodels, and even models with a proven track record of empirical performance have underperformedsince the early 2000s. On the other hand, survey expectations are accurate predictorsof yields, but only for very short maturities. We argue that this is partly due to the ability ofsurvey participants to incorporate information about the current state of the economy as wellas forward-looking information such as that contained in monetary policy announcements. Weshow how the informational advantage of survey expectations about short yields can be exploitedto improve the accuracy of yield curve forecasts given by a base model. We do so by employinga flexible projection method that anchors the model forecasts to the survey expectations in segmentsof the yield curve where the informational advantage exists and transmits the superiorforecasting ability to all remaining yields. The method implicitly incorporates into yield curveforecasts any information that survey participants have access to, without the need to explicitlymodel it. We document that anchoring delivers large and significant gains in forecast accuracyfor the whole yield curve, with improvements of up to 52% over the years 2000-2012 relative tothe class of models that are widely adopted by financial and policy institutions for forecastingthe term structure of interest rates
