@article {Francis149, author = {Jack Clark Francis and Jian Hua}, title = {Forecasting Yield Curves with Survey Information}, volume = {38}, number = {3}, pages = {149--155}, year = {2012}, doi = {10.3905/jpm.2012.38.3.149}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In recent years, affine term structure models have provided alternatives to the expectations hypothesis and have become very popular in the finance literature. In particular, the widely accepted dynamic Nelson{\textendash}Siegel model employs ingenious measures of the level, slope, and curvature of the yield curve that captured the attention of Francis and Hua. They supplement the dynamic Nelson-Siegel model with the Federal Reserve{\textquoteright}s Survey of Professional Forecasters data. Because these data utilize information from dozens of professional forecasters who study numerous macroeconomic variables, the authors wanted to see if this information-rich supplementary data could be used to improve the interest rate forecasting models for out-of-sample forecasts for Treasury bond maturities ranging from three months to 10 years that extend from three months to one year into the future.TOPICS: VAR and use of alternative risk measures of trading risk, factor-based models, statistical methods}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/38/3/149}, eprint = {https://jpm.pm-research.com/content/38/3/149.full.pdf}, journal = {The Journal of Portfolio Management} }