yield curve隱含的訊息用來協助策略性交易者做出決策~~~參考參考

This paper presents  a new framework allowing strategic investors to generate yield curve
projections contingent on  expectations  about future macroeconomic scenarios. By
consistently linking the shape and location of yield  curves to the state of the  economy our
method generates predictions for the full yield-curve distribution under different assumptions
on the future state of the economy. On the technical side, our model represents a regime-
switching expansion of  Diebold and Li (2003)  and hence rests on the  Nelson-Siegel
functional form set in state-space form. We allow transition  probabilities  in the regime-
switching set-up to depend on observed macroeconomic variables and thus  create a link
between the macro economy and the shape and location of yield curves and their time-series
evolution. The model is successfully applied to US yield curve data covering the period from
1953 to 2004 and encouraging out-of-sample results are obtained, in particular at forecasting
horizons longer than 24 months.