Forecasting with Macro-Finance Models: Applications to United States and New Zealand

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Title

Forecasting with Macro-Finance Models: Applications to United States and New Zealand

Content partner

Victoria University of Wellington

Collection

Open Access Victoria University of Wellington

Description

In this thesis, I use macro-finance models to explore the inter-relationships between the macroeconomy and the yield curve in a forecasting setting. Using the arbitrage-free Nelson-Siegel approach to model the yield curve combined with Vector Autoregression (VAR), I jointly model macroeconomic variables and the yield curve factors to produce forecasts of inflation, activity, and interest rates. In line with earlier literature I compare whether the macro-finance model is able to better capture...

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Format

Research paper

Research format

Scholarly text / Thesis

Thesis level

Masters

Date created

2015

Creator

Lewis, Michelle

URL

https://figshare.com/articles/thesis/Forecasting_with_Macro-Finance_Models_Applications_to_United...

Related subjects

Financial economics / International economics / Macroeconomics (incl. monetary and fiscal theory) / Macroeconomic theory / Macro-finance / Forecast / Out-of-sample / School: School of Economics and Finance / Macroeconomic Theory / Financial Economics / International Economics and International Finance / Macroeconomics (incl. Monetary and Fiscal Theory) / Expanding Knowledge in Economics / Degree Discipline: Economics / Degree Level: Masters / Degree Name: Master of Commerce

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