ECB paper employs survey data to improve yield curve forecasts
Survey data can be exploited to improve the accuracy of yield curve forecasts that are produced by standard models, according to a working paper published by the European Central Bank (ECB) today.
In Anchoring the Yield Curve Using Survey Expectations, Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa find it is difficult to replicate the "dynamic behaviour" of the term structure of interest rates through models, as "even models with a proven track record of empirical performance have
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