Table 4 (Continued)
Out-of-Sample 1-Month-Ahead Forecasting Results
Cochrane-Piazzesi Forward Curve Regression
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
NA |
NA |
NA |
NA |
NA |
|
1 year |
-0.038 |
0.238 |
0.241 |
0.282 |
-0.088 |
|
3 years |
-0.034 |
0.287 |
0.289 |
0.377 |
-0.108 |
|
5 years |
-0.068 |
0.292 |
0.300 |
0.364 |
-0.084 |
|
10 years |
-0.113 |
0.257 |
0.281 |
0.271 |
-0.097 |
|
__________________Univariate AR(1)s on Yield Leve |
s___________________ | ||||
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
0.042 |
0.177 |
0.182 |
0.229 |
0.060 |
|
1 year |
0.025 |
0.238 |
0.239 |
0.341 |
-0.147 |
|
3 years |
-0.005 |
0.276 |
0.276 |
0.345 |
-0.125 |
|
5 years |
-0.030 |
0.274 |
0.276 |
0.280 |
-0.127 |
|
10 years |
-0.054 |
0.252 |
0.258 |
0.224 |
-0.144 |
VAR(1) on Yield Levels
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
-0.013 |
0.176 |
0.176 |
0.229 |
0.128 |
|
1 year |
-0.026 |
0.262 |
0.263 |
0.447 |
-0.162 |
|
3 years |
-0.041 |
0.302 |
0.305 |
0.437 |
-0.154 |
|
5 years |
-0.064 |
0.303 |
0.310 |
0.429 |
-0.133 |
|
10 years |
-0.090 |
0.274 |
0.288 |
0.310 |
-0.123 |
VAR(1) on Yield Changes
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
ft(ɪ) |
P(12) |
|
3 months |
0.043 |
0.176 |
0.181 |
-0.019 |
0.156 |
|
1 year |
0.029 |
0.230 |
0.232 |
0.157 |
-0.149 |
|
3 years |
0.026 |
0.276 |
0.277 |
0.077 |
-0.049 |
|
5 years |
0.021 |
0.276 |
0.277 |
0.010 |
-0.002 |
|
10 years |
0.020 |
0.263 |
0.264 |
-0.017 |
-0.030 |
More intriguing information
1. The name is absent2. Olfactory Neuroblastoma: Diagnostic Difficulty
3. Heterogeneity of Investors and Asset Pricing in a Risk-Value World
4. The name is absent
5. The Prohibition of the Proposed Springer-ProSiebenSat.1-Merger: How much Economics in German Merger Control?
6. Linkages between research, scholarship and teaching in universities in China
7. The name is absent
8. An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates
9. Large Scale Studies in den deutschen Sozialwissenschaften:Stand und Perspektiven. Bericht über einen Workshop der Deutschen Forschungsgemeinschaft
10. EXECUTIVE SUMMARIES