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Estimating and forecasting international yield curves: a no-arbitrage VAR with macroeconomic and latent variables
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The focus of this paper is to replicate and extend a model for the prediction of interest rate affine term structure models. We propose an extension of one of the most recent models in the field to some G10 countries. Our purpose is to find how well this model fares at forecasting in different markets and if its implementation in investment strategies is viable. This model uses measures of real activity and inflation as macroeconomic variables together with unobservable variables. This Work Project had the objective of delivering its results to BlackRock to build an innovative and successful investment strategy.
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Interest rate term structures Affine term structure models Macroeconomic variables Latent variables Minimum chi-square estimation