Forecasting the yield curve using a dynamic natural cubic spline model

摘要

We propose a dynamic natural cubic spline model with a two-step procedure for the forecasting of the entire yield curve. We apply our method to the monthly Chinese yield-curve data and evaluate the out-of-sample forecast performance. We find that our method compares favourably with its competitors, especially in the medium and long-term forecasts. (C) 2018 Elsevier B.V. All rights reserved.