Table 6 (Continued)
Out-of-Sample 12-month-Ahead Forecasting Results
Fama-Bliss Forward Rate Regression
|
Maturity ( τ ) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
0.942 |
1.010 |
1.381 |
-0.046 |
-0.096 |
|
1 year |
0.875 |
1.276 |
1.547 |
-0.142 |
-0.039 |
|
3 years |
0.746 |
1.378 |
1.567 |
-0.291 |
0.035 |
|
5 years |
0.587 |
1.363 |
1.484 |
-0.352 |
0.040 |
|
10 years |
0.547 |
1.198 |
1.317 |
-0.403 |
0.062 |
Cochrane-Piazzesi Forward Curve Regression
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
NA |
NA |
NA |
NA |
NA |
|
1 year |
-0.162 |
1.275 |
1.285 |
-0.179 |
-0.079 |
|
3 years |
-0.377 |
1.275 |
1.330 |
-0.274 |
-0.028 |
|
5 years |
-0.529 |
1.225 |
1.334 |
-0.301 |
-0.021 |
|
10 years |
-0.760 |
1.088 |
1.327 |
-0.307 |
-0.020 |
|
__________________Univariate AR(1)s on Yield Leve |
s___________________ | ||||
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
0.246 |
0.808 |
0.845 |
-0.213 |
-0.073 |
|
1 year |
0.182 |
0.953 |
0.970 |
-0.271 |
-0.004 |
|
3 years |
-0.113 |
0.996 |
1.002 |
-0.380 |
0.061 |
|
5 years |
-0.301 |
0.961 |
1.007 |
-0.433 |
0.058 |
|
10 years |
-0.603 |
0.835 |
1.030 |
-0.431 |
0.020 |
VAR(1) on Yield Levels
|
Maturity (j) |
Mean |
Std. Dev. |
RMSE |
P(12) |
P(24) |
|
3 months |
-0.276 |
1.006 |
1.043 |
-0.219 |
-0.099 |
|
1 year |
-0.390 |
1.204 |
1.266 |
-0.322 |
-0.058 |
|
3 years |
-0.467 |
1.240 |
1.325 |
-0.345 |
-0.015 |
|
5 years |
-0.540 |
1.201 |
1.317 |
-0.348 |
-0.012 |
|
10 years |
-0.744 |
1.060 |
1.295 |
-0.328 |
-0.010 |