Forecasting interest rates using shifting endpoints in small open economies: evidence from Canada and the UK

buir.advisorKısacıkoğlu, Burçin
dc.contributor.authorAta, İbrahim
dc.date.accessioned2022-08-08T13:48:04Z
dc.date.available2022-08-08T13:48:04Z
dc.date.copyright2022-06
dc.date.issued2022-06
dc.date.submitted2022-06-29
dc.departmentDepartment of Economicsen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionThesis (Master's): Bilkent University, Department of Economics, İhsan Doğramacı Bilkent University, 2022.en_US
dc.descriptionIncludes bibliographical references (leaves 54-56).en_US
dc.description.abstractThis thesis examines the forecasting performance of widely used interest rate forecasting methods for small open economies such as Canada and the UK. In particular, I run a horse race between standard models and the models using shifting endpoints to see whether results for the US extends to small open economies. In this setup, three time-varying parameters, interpreted as factors corresponding to level, slope and curvature, are allowed to have shifting long-run means rather than a constant mean. The shifting endpoints are introduced by exponential smoothing of factors, and the connection of factors with certain macroeconomic variables and inflation expectations. In comparison to the random walk benchmark, allowing for shifting endpoints in yield curve factors offers significant gains in out-of-sample forecasting accuracy. Moreover, results suggest that there is a strong evidence that the US as a global economy has a spillover effect on the term structure of interest rates of Canada and the UK.en_US
dc.description.degreeM.A.en_US
dc.description.statementofresponsibilityby İbrahim Ataen_US
dc.format.extentx, 62 leaves : charts (some color) ; 30 cm.en_US
dc.identifier.itemidB161042
dc.identifier.urihttp://hdl.handle.net/11693/110396
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectYield curveen_US
dc.subjectForecastingen_US
dc.subjectShifting endpointsen_US
dc.titleForecasting interest rates using shifting endpoints in small open economies: evidence from Canada and the UKen_US
dc.title.alternativeKüçük açık ekonomilerde hareketli uç yöntemi ile getiri eğrisi tahmini: Kanada ve İngiltere örneklerien_US
dc.typeThesisen_US
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