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Interest rate modelling and forecasting: macro-finance approach, Adam Kučera, 2014

Interest rate modelling and forecasting: macro-finance approach, Adam Kučera, 2014

affine model, Interest rate, macro-finance model, Nelson-Siegel, yield curve

The thesis compares various approaches to the term structure of interest rates modelling. Several models are built, following two general frameworks: a dynamic Nelson-Siegel approach and an ane class of models. Based on an evaluation of dynamic properties of the estimated models, particularly in terms of impulse-responses and a forecasting performance, e ects of an explicit inclusion of macroeconomic variables into the models are tested. The thesis shows, that the bene t of such macro- nance extension of the models is varying in time, and also di ers for both approaches. However, it is shown that the models can be considered as complementary, as the particular approaches are di erently useful under various macroeconomic conditions and nancial markets situations.
Moreover, unusually long maturities are included into the term structure of interest rates, and some of the models are shown to be able to forecast these maturities as well, particularly in certain periods of time.

27.05.2014