Table 5 (Continued)
Out-of-Sample 6-month-Ahead Forecasting Results
Cochrane-Piazzesi Forward Curve Regression
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
NA |
NA |
NA |
NA |
NA |
|
1 year |
-0.155 |
0.845 |
0.859 |
0.220 |
-0.110 |
|
3 years |
-0.210 |
0.910 |
0.934 |
0.179 |
-0.218 |
|
5 years |
-0.224 |
0.910 |
0.937 |
0.193 |
-0.270 |
|
10 years |
-0.345 |
0.837 |
0.905 |
0.192 |
-0.287 |
|
__________________Univariate AR(1)s on Yield Level |
s__________________________ | ||||
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
0.224 |
0.539 |
0.584 |
0.405 |
-0.210 |
|
1 year |
0.160 |
0.707 |
0.725 |
0.193 |
-0.155 |
|
3 years |
-0.030 |
0.800 |
0.801 |
0.075 |
-0.211 |
|
5 years |
-0.144 |
0.789 |
0.802 |
0.061 |
-0.253 |
|
10 years |
-0.286 |
0.699 |
0.755 |
0.073 |
-0.278 |
VAR(1) on Yield Levels
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
-0.138 |
0.659 |
0.673 |
0.289 |
-0.160 |
|
1 year |
-0.195 |
0.880 |
0.901 |
0.133 |
-0.169 |
|
3 years |
-0.218 |
0.926 |
0.951 |
0.122 |
-0.240 |
|
5 years |
-0.258 |
0.919 |
0.955 |
0.140 |
-0.273 |
|
10 years |
-0.406 |
0.811 |
0.907 |
0.137 |
-0.293 |
VAR(1) on Yield Changes
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
P(6) |
P(18) |
|
3 months |
0.312 |
0.661 |
0.731 |
0.319 |
-0.256 |
|
1 year |
0.310 |
0.845 |
0.900 |
0.172 |
-0.181 |
|
3 years |
0.276 |
0.941 |
0.981 |
0.059 |
-0.210 |
|
5 years |
0.246 |
0.917 |
0.949 |
0.048 |
-0.242 |
|
10 years |
0.192 |
0.809 |
0.831 |
0.043 |
-0.259 |
More intriguing information
1. Indirect Effects of Pesticide Regulation and the Food Quality Protection Act2. The name is absent
3. Inflation and Inflation Uncertainty in the Euro Area
4. BUSINESS SUCCESS: WHAT FACTORS REALLY MATTER?
5. On the Existence of the Moments of the Asymptotic Trace Statistic
6. Menarchial Age of Secondary School Girls in Urban and Rural Areas of Rivers State, Nigeria
7. The name is absent
8. The growing importance of risk in financial regulation
9. The Role of Trait Emotional Intelligence (El) in the Workplace.
10. Foreign Direct Investment and Unequal Regional Economic Growth in China