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：2008
卷号：1
出版社：European Central Bank
摘要：This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the explicit description of the cross-sectional dynamics of the interest rates. The intertemporal dynamics of the factors is then modeled as driven by long-run forces giving rise to enduring eects, and by medium- and short-run forces producing transitory eects. These forces are reconstructed in real time with a dynamic lter whose embedded feedback control recursively corrects for model uncertainty, including additive and parameter uncertainty and possible equation misspeci cations and approximations. This correction sensibly enhances the robustness of the estimates and the accuracy of the out-of-sample forecasts, both at short and long forecast horizons
关键词：Yield curve; Model uncertainty; Frequency decomposition; Monetary policy
