Forecasting the Yield Curve for Poland

• Autorzy: Piotr Kostyra , Michał Rubaszek
• Języki publikacji: EN

Abstrakty

EN

This paper evaluates the accuracy of forecasts for Polish interest rates of various maturities. We apply the traditional autoregressive Diebold-Li framework as well as its extension, in which the dynamics of latent fac- tors are explained with machine learning techniques. Our findings are fourfold. Firstly, they show that all methods have failed to predict the declining trend of interest rates. Secondly, they suggest that the dynamic affine models have not been able to systematically outperform standard univariate time series models. Thirdly, they indicate that the relative performance of the analyzed models has depended on yield maturity and forecast horizon. Finally, they demonstrate that, in comparison to the traditional time series models, machine learning techniques have not systematically improved the accuracy of forecasts.(original abstract)

Słowa kluczowe

EN

Machine learning; Forecasting; Yield curve

PL

Uczenie maszynowe; Prognozowanie; Krzywa dochodowości

• Czasopismo: Econometric Research in Finance
• Rocznik: 2020
• Tom: 5
• Numer: nr 2
• Strony: 103--117

Twórcy

autor

Piotr Kostyra

autor

Michał Rubaszek

• Warsaw School of Economics, Poland

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