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Article

Forecasting Yield Curves with Survey Information

Jack Clark Francis and Jian Hua
The Journal of Portfolio Management Spring 2012, 38 (3) 149-155; DOI: https://doi.org/10.3905/jpm.2012.38.3.149
Jack Clark Francis
is a professor of economics and finance in the Zicklin School of Business at Baruch College in New York, NY.
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  • For correspondence: jack@jcfrancis.com
Jian Hua
is an assistant professor of finance and economics in the Zicklin School of Business at Baruch College in New York, NY.
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  • For correspondence: jian.hua@baruch.cuny.edu
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Abstract

In recent years, affine term structure models have provided alternatives to the expectations hypothesis and have become very popular in the finance literature. In particular, the widely accepted dynamic Nelson–Siegel model employs ingenious measures of the level, slope, and curvature of the yield curve that captured the attention of Francis and Hua. They supplement the dynamic Nelson-Siegel model with the Federal Reserve’s Survey of Professional Forecasters data. Because these data utilize information from dozens of professional forecasters who study numerous macroeconomic variables, the authors wanted to see if this information-rich supplementary data could be used to improve the interest rate forecasting models for out-of-sample forecasts for Treasury bond maturities ranging from three months to 10 years that extend from three months to one year into the future.

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The Journal of Portfolio Management: 38 (3)
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Forecasting Yield Curves with Survey Information
Jack Clark Francis, Jian Hua
The Journal of Portfolio Management Apr 2012, 38 (3) 149-155; DOI: 10.3905/jpm.2012.38.3.149

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Forecasting Yield Curves with Survey Information
Jack Clark Francis, Jian Hua
The Journal of Portfolio Management Apr 2012, 38 (3) 149-155; DOI: 10.3905/jpm.2012.38.3.149
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