29 research outputs found
Empirical analysis of the US swap curve
This paper provides an empirical analysis of the US swap rate curve using principal components analysis (PCA) to identify the factors which explain the variation in the data. We also investigate the forecasting performance of different econometric models for individual maturities across the curve using daily data over the period 1998 to 2011. The PCA analysis indicates that the first two factors explain approximately 99.76% of the cumulative variation in the sample. We also find that a continuous time modelling approach has a satisfactory performance across the curve based on the RMSE
US and Canadian term structures of interest rates: A forecasting comparison
This paper provides empirical evidence for the US and Canadian yield curves using a one- and two-factor Generalised Vasicek model, using a data set comprised of daily panel data over the period between 2003 and 2011, which includes the recent global financial crisis. The two-factor model is found to have a good fit for both the US and Canadian yield curves. We also compare the forecasting performance of the term structure model with those from ARIMA, ARFIMA and Nelson-Siegel models. We find that for Canada the Nelson-Siegel model dominates, while for the US the ARFIMA model has a satisfactory performance