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dc.titleA Dynamic Nelson-Siegel Factor Model with Financial System Indicators.
dc.contributor.authorChin Han Wei Jarrett
dc.identifier.citationChin Han Wei Jarrett (2017-11-06). A Dynamic Nelson-Siegel Factor Model with Financial System Indicators.. ScholarBank@NUS Repository.
dc.description.abstractAfter the global financial crisis and the subsequent recession, given the nascent macro-finance literature, the interactions between macroeconomics and financial markets grow more important. A related question is how interest rates affect real GDP. I explore this interaction via a forecasting exercise. First, I use a vector autoregressive model with financial system indicators within the dynamic Nelson-Siegel framework to forecast interest rates. Then, I extend the analysis to credit spread modelling, after which I investigate whether credit spreads forecasted using the dynamic Nelson-Siegel factor model, in a contemporaneous regression with real GDP growth, beat the benchmark autoregressive model in real GDP growth and autoregressive distributed lag models in forecasting real GDP growth. I found that the proposed vector autoregressive model was able to generate good yield forecasts, and also produced credit spread forecasts ranked second to the dynamic Nelson-Siegel autoregressive factor model in forecasting real GDP growth.
dc.subjectmacro-finance, forecasting exercise, financial system indicators, dynamic Nelson-Siegel factor model, credit spread modelling, real GDP growth
dc.contributor.supervisorDenis Tkachenko
dc.contributor.supervisorRobert Lawrence Kimmel
dc.description.degreeconferredBachelor of Social Sciences (Honours)
dc.description.degreeconferredBachelor of Business Administration (Accountancy) with Honours
Appears in Collections:Bachelor's Theses

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