A Multicountry Model of the Term Structures of Interest Rates with a GVAR
提出一种结合全局向量自回归的无套利期限结构模型，解决多国模型维度高的问题，提升估计精度和预测能力，并发现中国经济对拉美收益率曲线有显著影响。
Abstract Extant multicountry affine term structure models (ATSMs) handle global financial interdependence at the cost of increasing model dimensionality. To address this challenge, we propose a novel no-arbitrage ATSM with risk factor dynamics following a global vector-autoregressive (GVAR). Compared to referenced benchmarks, the GVAR − ATSM offers a more parsimonious representation, enables a faster estimation process, produces more precise model estimates, yields more plausible term premia dynamics, and improves bond yield out-of-sample forecasting. Furthermore, our empirical findings reveal the significant impact of China’s economic stances on Latin American yield curve dynamics, underscoring its importance as a global economic player.