Author : Nina Boyarchenko
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Book Synopsis Are Analysts Right? Macroeconomic Factors and Regime Switching in the Term Structure of Interest Rates by : Nina Boyarchenko
Download or read book Are Analysts Right? Macroeconomic Factors and Regime Switching in the Term Structure of Interest Rates written by Nina Boyarchenko and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The validity of analysts' beliefs that the dependence of bond prices on crude oil prices changes sign over time and that the overall economy performance is correlated with the slope of the yield curve is examined. These beliefs are mapped into the term structure of interest rates framework by allowing for regime switching in the term structure and by using crude oil prices and an overall economy performance index (CFNAI) as factors. Fitting is done using Gibbs sampling, which allows for fewer assumptions on the regime switching parameters than classical methods and, thus, provides a more flexible model. The predicted yields are calculated using the eigenfunction expansion method.