Forecasting the Government Bond Term Structure in Australia |
| |
| Authors: | Rui Chen Jiri Svec Maurice Peat |
| |
| Affiliation: | 1. Central University of Finance and Economics;2. The University of Sydney |
| |
| Abstract: | In this paper, we evaluate the performance of the dynamic Nielsen and Siegel interest rate model in forecasting Australian government bond yields. We compare a two‐stage OLS estimation procedure to a more powerful and robust state‐space framework estimated via a Kalman filter. We show that the one‐step approach generates smaller forecast errors than the two‐step procedure or a benchmark random walk model when forecasting the Australian government term structure across various horizons. |
| |
| Keywords: | C53 E43 E47 |
|
