The information in joint term structures of bond yields

Meldrum, Andrew; Raczko, Marek; Spencer, Peter

doi:10.1016/j.jimonfin.2023.102828

Journal of International Money and Finance

2023

DOI: 10.1016/j.jimonfin.2023.102828

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The information in joint term structures of bond yields

Andrew Meldrum

Marek Raczko

Peter Spencer

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2024

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A Multicountry Model of the Term Structures of Interest Rates with a GVAR

Candelon,

Moura

2024

Journal of Financial Econometrics

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Extant multicountry affine term structure models (ATSMs) handle global financial interdependence at the cost of increasing model dimensionality. To address this challenge, we propose a novel no-arbitrage ATSM with risk factor dynamics following a global vector-autoregressive (GVAR). Compared to referenced benchmarks, the GVAR − ATSM offers a more parsimonious representation, enables a faster estimation process, produces more precise model estimates, yields more plausible term premia dynamics, and improves bond yield out-of-sample forecasting. Furthermore, our empirical findings reveal the significant impact of China’s economic stances on Latin American yield curve dynamics, underscoring its importance as a global economic player.

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A Multicountry Model of the Term Structures of Interest Rates with a GVAR

Candelon,

Moura

2024

Journal of Financial Econometrics

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show abstract

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The information in joint term structures of bond yields

Cited by 1 publication

References 20 publications

A Multicountry Model of the Term Structures of Interest Rates with a GVAR

A Multicountry Model of the Term Structures of Interest Rates with a GVAR

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