{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,16]],"date-time":"2026-07-16T07:35:46Z","timestamp":1784187346523,"version":"3.55.0"},"reference-count":37,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2013,10,9]],"date-time":"2013-10-09T00:00:00Z","timestamp":1381276800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2014,8]]},"abstract":"<jats:title>SUMMARY<\/jats:title><jats:p>We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time\u2010varying mean or \u2018shifting endpoint\u2019. The shifting endpoints are captured using either (i) time series methods (exponential smoothing) or (ii) long\u2010range survey forecasts of either interest rates or inflation and output growth, or (iii) exponentially smoothed realizations of these macro variables. Allowing for shifting endpoints in yield curve factors provides substantial and significant gains in out\u2010of\u2010sample predictive accuracy, relative to stationary and random walk benchmarks. Forecast improvements are largest for long\u2010maturity interest rates and for long\u2010horizon forecasts. Copyright \u00a9 2013 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2358","type":"journal-article","created":{"date-parts":[[2013,10,12]],"date-time":"2013-10-12T01:59:23Z","timestamp":1381543163000},"page":"693-712","source":"Crossref","is-referenced-by-count":50,"title":["Forecasting interest rates with shifting endpoints"],"prefix":"10.1002","volume":"29","author":[{"given":"Dick","family":"van Dijk","sequence":"first","affiliation":[{"name":"Econometric Institute Erasmus University Rotterdam  The Netherlands"},{"name":"Tinbergen Institute Amsterdam and Rotterdam  The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Siem Jan","family":"Koopman","sequence":"additional","affiliation":[{"name":"Tinbergen Institute Amsterdam and Rotterdam  The Netherlands"},{"name":"Department of Econometrics VU University  Amsterdam The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Michel","family":"van der Wel","sequence":"additional","affiliation":[{"name":"Econometric Institute Erasmus University Rotterdam  The Netherlands"},{"name":"Tinbergen Institute Amsterdam and Rotterdam  The Netherlands"},{"name":"CREATES  Aarhus Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jonathan H.","family":"Wright","sequence":"additional","affiliation":[{"name":"Department of Economics Johns Hopkins University  Baltimore MD USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2013,10,9]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00032-1"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.04.006"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2008.09.001"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214508000000922"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhq090"},{"key":"e_1_2_8_7_1","doi-asserted-by":"crossref","unstructured":"ChunA.2012.Forecasting interest rates and inflation: Blue Chip clairvoyants or econometrics?EFA 2009 Bergen Meetings Paper.","DOI":"10.2139\/ssrn.946667"},{"key":"e_1_2_8_8_1","doi-asserted-by":"crossref","unstructured":"CieslakA PovalaP.2010.Understanding bond risk premia. Available:http:\/\/ssrn.com\/abstract=1709636[3 September 2013].","DOI":"10.2139\/ssrn.1709636"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2010.09248"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511599286"},{"key":"e_1_2_8_11_1","volume-title":"Forecasting Nonstationary Economic Time Series","author":"Clements MP","year":"1999"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2004.10.009"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.2202\/1935-1690.1677"},{"key":"e_1_2_8_14_1","unstructured":"De PooterMD.2007.Examining the Nelson\u2010Siegel class of term structure models. Tinbergen Institute Discussion Paper TI 2007\u2010043\/4."},{"key":"e_1_2_8_15_1","doi-asserted-by":"crossref","unstructured":"De PooterMD RavazzoloF vanDijkD.2010.Term structure forecasting using macro factors and forecast combination. Federal Reserve Board of Governors International Finance Discussion Papers No. 2010\u2010993.","DOI":"10.17016\/ifdp.2010.993"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.03.005"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.011"},{"key":"e_1_2_8_19_1","unstructured":"DuffeeGR.2011.Forecasting with the term structure: the role of no\u2010arbitrage restrictions. Working paper Johns Hopkins University."},{"key":"e_1_2_8_20_1","doi-asserted-by":"crossref","unstructured":"DuffeeGR.2012.Bond pricing and the macroeconomy. Working paper prepared forHandbook of the Economics of Finance.","DOI":"10.1016\/B978-0-44-459406-8.00013-5"},{"key":"e_1_2_8_21_1","unstructured":"EhlingP GallmeyerM Heyerdahl\u2010LarsenC IlleditschP.2013.Disagreement about inflation and the yield curve. Working paper. Available:http:\/\/ssrn.com\/abstract=2028391."},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1258"},{"key":"e_1_2_8_23_1","first-page":"680","article-title":"The information in long\u2010maturity forward rates","volume":"77","author":"Fama EF","year":"1987","journal-title":"American Economic Review"},{"key":"e_1_2_8_24_1","unstructured":"FaustJ WrightJH.2012.Forecasting inflation. Working paper prepared forHandbook of Economic Forecasting."},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.04.004"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465398557465"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109011000627"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07295"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(01)00054-X"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2004.05.004"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1991.692347"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1086\/296409"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2011.08.011"},{"key":"e_1_2_8_34_1","unstructured":"PiazzesiM SalomaoJ SchneiderM.2013.Trend and cycle in bond premia. Working paper Stanford University."},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2007.00014.x"},{"key":"e_1_2_8_36_1","doi-asserted-by":"crossref","unstructured":"StockJH WatsonMW.2010.Modeling inflation after the crisis. NBER Working Paper No. 16488.","DOI":"10.3386\/w16488"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0706(05)01003-7"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2268"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2358","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2358","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,4]],"date-time":"2023-10-04T03:10:36Z","timestamp":1696389036000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2358"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,10,9]]},"references-count":37,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2014,8]]}},"alternative-id":["10.1002\/jae.2358"],"URL":"https:\/\/doi.org\/10.1002\/jae.2358","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,10,9]]}}}