AUEB Library - Digital Repository

PYXIDA Institutional Repository
and Digital Library

Username
Password

Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών / Department of International and European Economic Studies Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Forecasting the Greek yield curve

Alternative Title :	Πρόβλεψη της ελληνικής καμπύλης αποδόσεων

Creator :	Spiropali, Alexandros Σπιροπάλι, Αλέξανδρος

Contributor :	Papailias, Fotis (Επιβλέπων καθηγητής) Tzavalis, Elias (Εξεταστής) Dendramis, Yiannis (Εξεταστής) Athens University of Economics and Business, Department of International and European Economic Studies (Degree granting institution)

Type :	Text

Extent :	97p.

Language :	en

Identifier :	http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=9336

Abstract :	Forecasting yield curve has been evolving into a major issue over the last years as theeconomic growth in advanced countries is based on expansionary monetary policy andespecially after the pandemic. Forecasting the bond yields is extremely important forcentral banks considering inflation as one of the first objectives along with economicgrowth. In this thesis is used the dynamic Nelson-Siegel model as introduced byDiebold and Li (2007). There are various Nelson-Siegel models demonstrated fordeeper understanding of concept around these models. The term structure used is theGreek bond yields which had soared after the eruption of financial crisis and remainedat these levels for several years. Also, In-sample forecast results are presented to checkout the efficiency of dynamic model. To better evaluate the efficiency of dynamicmodel TVAR(1) is used for checking the persistence of factors, and rolling OLS(100)for real time persistence. Out-of-sample forecast results are displayed to compare theefficiency between dynamic models compared by using Diebold-Mariano test forfurther analysis. Κύριος στόχος της εργασίας είναι η χρησιμοποίηση του δυναμικού Nelson-Siegel για την κατασκευή και πρόβλεψη της καμπύλης όπως στους Diebold και Li (2007).

Abstract :

Forecasting yield curve has been evolving into a major issue over the last years as theeconomic growth in advanced countries is based on expansionary monetary policy andespecially after the pandemic. Forecasting the bond yields is extremely important forcentral banks considering inflation as one of the first objectives along with economicgrowth. In this thesis is used the dynamic Nelson-Siegel model as introduced byDiebold and Li (2007). There are various Nelson-Siegel models demonstrated fordeeper understanding of concept around these models. The term structure used is theGreek bond yields which had soared after the eruption of financial crisis and remainedat these levels for several years. Also, In-sample forecast results are presented to checkout the efficiency of dynamic model. To better evaluate the efficiency of dynamicmodel TVAR(1) is used for checking the persistence of factors, and rolling OLS(100)for real time persistence. Out-of-sample forecast results are displayed to compare theefficiency between dynamic models compared by using Diebold-Mariano test forfurther analysis.
Κύριος στόχος της εργασίας είναι η χρησιμοποίηση του δυναμικού Nelson-Siegel για την κατασκευή και πρόβλεψη της καμπύλης όπως στους Diebold και Li (2007).

Subject :	Πρόβλεψη Καμπύλη επιτοκίων Μοντέλο Forecasting Yield curve Model

Date Available :	2022-04-03 12:12:04

Date Issued :	2022

Date Submitted :	2022-04-03 12:12:04

Access Rights :	Free access

Licence :

File: Spiropali_2022.pdf

Type: application/pdf

Login