Mohaimen Mansur
Room number: E302A
Tel: +44 20 7882 8840
Fax: +44 20 8983 3580
Email: m.mansur@qmul.ac.uk
Research keywords: Term structure of interest rates, Affine models, Factor models; Bayesian analysis
Research supervisors: Andrea Carriero, Liudas Giraitis
Essays on Forecasting of Term Structure of Interest Rates
A yield curve, or more generally the term structure of interest rates, shows the relationship between interest rates and the time to maturity of debts or bonds. Following and understanding evolution of yield curves over time is important from many aspects of macroeconomics and finance, such as conducting monetary policy, formulating fiscal debt strategy, pricing financial derivatives and hedging and managing financial risk. The principal aim of my research is to do an extensive review of the existing literature on standard models for estimating and forecasting the term structure of interest rates, namely the affine term structure models and the Nelson-Siegel class of factor models and then to try to investigate the performance of various models in predicting the future yield curves regarding UK government and corporate bonds. I would like to analyze various extensions of the models to examine potential improvements on their forecasting abilities – such as considering a compact state space specification of the factor models to capture dynamics of the factors, incorporating different macroeconomic and financial indicator variables into the models to investigate effects of real activity on yields, imposing rational constraints such as no-arbitrage and time-varying risk premium restrictions and applying the Bayesian methodology to use effective prior information to improve on the current predictions.