Quotation Fischer, Manfred M., Hauzenberger, Niko, Huber, Florian, Pfarrhofer, Michael. 2022. General Bayesian time-varying parameter VARs for predicting government bond yields. Journal of Applied Econometrics.


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Abstract

US yield curve dynamics are subject to time-variation, but there is ambiguity about its precise form. This paper develops a vector autoregressive (VAR) model with time-varying parameters and stochastic volatility which treats the nature of parameter dynamics as unknown. Coefficients can evolve according to a random walk, a Markov switching process, observed predictors, or depend on a mixture of these. To decide which form is supported by the data and to carry out model selection, we adopt Bayesian shrinkage priors. Our framework is applied to model the US yield curve. We show that the model forecasts well, and focus on selected in-sample features to analyze determinants of structural breaks in US yield curve dynamics.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Applied Econometrics
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, VW-B, WH-B
Language English
Title General Bayesian time-varying parameter VARs for predicting government bond yields
Year 2022
Reviewed? Y
DOI na
Open Access N
JEL C11, C32, E43, E47

Associations

People
Fischer, Manfred M. (Details)
Hauzenberger, Niko (Details)
Huber, Florian (Former researcher)
Pfarrhofer, Michael (Former researcher)
Organization
Institute for Economic Geography and GIScience IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1162 Statistics (Details)
5371 Macroeconomics (Details)
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