US and Canadian term structures of interest rates: A forecasting comparison

Van Dellen, S., Juneja, J.A., Nowman, K.B. and Zhao, G. 2016. US and Canadian term structures of interest rates: A forecasting comparison. 23rd Annual Conference of the Multinational Finance Society. Stockholm, Sweden 26 - 29 Jun 2016

TitleUS and Canadian term structures of interest rates: A forecasting comparison
AuthorsVan Dellen, S., Juneja, J.A., Nowman, K.B. and Zhao, G.
TypeConference paper
Abstract

This paper provides empirical evidence for the US and Canadian yield curves using a one- and two-factor Generalised Vasicek model, using a data set comprised of daily panel data over the period between 2003 and 2011, which includes the recent global financial crisis. The two-factor model is found to have a good fit for both the US and Canadian yield curves. We also compare the forecasting performance of the term structure model with those from ARIMA, ARFIMA and Nelson-Siegel models. We find that for Canada the Nelson-Siegel model dominates, while for the US the ARFIMA model has a satisfactory performance.

KeywordsYield curve
Kalman filter
Nelson-Siegel
ARFIMA
Year2016
Conference23rd Annual Conference of the Multinational Finance Society
Accepted author manuscriptPaper 5 -GVT- - Submission to MFS 2016 -Full Manuscript-.pdf

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