Predictability of Interest Rates and Interest-Rate Portfolios
针对利率序列难以预测的问题，本文提出用动态期限结构模型将利率分解为持久成分和均值回复成分，构造对持久因子中性、暴露于均值回复残差的利率组合，发现其变化具有统计和经济上的可预测性。
Abstract Due to the near unit-root behavior of interest rates, changes in individual interest-rate series are difficult to forecast. We propose an innovative way of applying dynamic term structure models to predict future changes in interest-rate portfolios. Instead of directly forecasting the movements based on the estimated factor dynamics, we use the dynamic term structure model as a decomposition tool and decompose each interest-rate series into two components: a persistent component captured by the dynamic factors, and a strongly mean-reverting component given by the pricing residuals of the model. With this decomposition, we form interest-rate portfolios that are first-order neutral to the persistent dynamic factors, but are exposed to the strongly mean-reverting residuals. We show that the predictability on the changes of these interest-rate portfolios is significant both statistically and economically. We explore the implications of the predictability in future interest-rate modeling. Keywords: : Expectation hypothesesFactorsInterest-rate portfoliosInterest ratesPredictabilityPricing errorsTerm structure