国会预算办公室-基于调查的利率转移终点动态期限结构模型（英）

Working Paper Series Congressional Budget Office Washington, D.C. A Survey-Based Shifting-Endpoint Dynamic Term Structure Model of Interest Rates Michael McGrane Congressional Budget Office michael.mcgrane@cbo.gov Working Paper 2025-03 August 2025 To enhance the transparency of the work of the Congressional Budget Office and to encourage external review of that work, CBO’s working paper series includes papers that provide technical descriptions of official CBO analyses as well as papers that represent independent research by CBO analysts. Papers in this series are available at http://go.usa.gov/xUzd7. A Survey-Based Shifting-Endpoint Dynamic TermStructure Model of Interest RatesMichael McGrane*AbstractIn this paper, I present a dynamic term structure model of interest rates that fea-tures a shifting endpoint and incorporates survey forecasts of interest rates to sharpenthe model’s implied forecasts and estimate trend interest rates. I present a new esti-mate of trend interest rates from the model as well as the model’s estimates of termpremiums. I conduct an out-of-sample forecast analysis with the model and find thatit significantly outperforms a standard dynamic term structure model with no shiftingendpoint and only slightly underperforms a random walk model.JEL Classification: E43, E47, G12*I thank Michael Bauer (of the Federal Reserve Bank of San Francisco), Michael Falkenheim, SebastienGay, Domenico Giannone (of Johns Hopkins University), Mark Lasky, Junghoon Lee, Jeffrey Schafer, andKen West (of the University of Wisconsin) for their invaluable comments and suggestions on an earlierversion of this paper. This paper has not been subject to the Congressional Budget Office’s regular reviewand editing process. The views expressed here should not be interpreted as CBO’s.11IntroductionDynamic term structure models (DTSMs) are models of interest rates across the yield curvethat describe how interest rates change over time. Specifically, yields are modeled as a func-tion of “factors” (typically some linear combination of yields or macroeconomic variables),and those factors follow a stochastic process in the model. By specifying how those factorsevolve over time, yields can be projected by mapping those factors into yields. The mostcommonly used class of DTSMs specifies yields as an affine function of the factors (Duffieand Kan 1996). That class of models excludes arbitrage opportunities by specifying (eitherexplicitly or implicitly) the market price of risk as a function of the factors. That requirementensures that portfolios of bonds cannot be constructed that earn positive returns without apositive net investment and without taking any risk.Although DTSMs have become ubiquitous in the finance literature and are extensivelyused to price fixed-income derivatives, evidence on their forecast performance of interest ratesis mixed (Duffee 2002). Specifically, it has proved notoriously difficult to outperform a naiverandom walk forecast of inte