Time-varying risk aversion and forecastability of the US term structure of interest rates

dc.contributor.authorBouri, Elie
dc.contributor.authorGupta, Rangan
dc.contributor.authorMajumdar, Anandamayee
dc.contributor.authorSubramaniam, Sowmya
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-04-13T08:26:33Z
dc.date.issued2021-10
dc.description.abstractWe analyse the out-of-sample forecasting ability of a time-varying metric of risk aversion for the entire term structure of US Treasury securities as reflected by the three latent factors, level, slope and curvature. Daily data cover the out-of-sample period 22nd June 1988 to 3rd September 2020 within a quantiles-based framework. The results show statistically significant forecasting gains emanating from the inclusion of risk aversion for the tails of the conditional distributions of the quantiles-based models of the level, slope and curvature factors. The forecasting gains are shown in lower mean squared forecast errors at horizons of one-day, one-week, and one-month-ahead.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-01-12
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.elsevier.com/locate/frlen_ZA
dc.identifier.citationBouri, E., Gupta, R., Majumdar, A. et al. 2021, 'Time-varying risk aversion and forecastability of the US term structure of interest rates', Finance Research Letters, vol. 42, art. 101924, pp. 1-8.en_ZA
dc.identifier.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2021.101924
dc.identifier.urihttp://hdl.handle.net/2263/79408
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 42, art. 101924, pp. 1-8, 2021. doi : 10.1016/j.frl.2021.101924.en_ZA
dc.subjectYield curve factorsen_ZA
dc.subjectRisk aversionen_ZA
dc.subjectOut-of-sample forecastsen_ZA
dc.titleTime-varying risk aversion and forecastability of the US term structure of interest ratesen_ZA
dc.typePostprint Articleen_ZA

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