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Board of Governors of the Federal Reserve System
International Finance Discussion Papers
Number 993, January 2010 --- Screen Reader Version*

Term Structure Forecasting Using Macro Factors And Forecast Combination¹

Michiel De Pooter, Francesco Ravazzolo, and Dick van Dijk²

NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Recent IFDPs are available on the Web at http://www.federalreserve.gov/pubs/ifdp/. This paper can be downloaded without charge from the Social Science Research Network electronic library at http://www.ssrn.com/.

Abstract:

We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S. interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our results confirm and extend results found in previous literature that adding macroeconomic information, through factors extracted from a large number of individual series, tends to improve interest rate forecasts. We then show, however, that the predictive power of individual models varies over time significantly. Models with macro factors are the more accurate in and around recession periods. Models without macro factors do particularly well in low-volatility subperiods such as the late 1990s. We demonstrate that this problem of model uncertainty can be mitigated by combining individual model forecasts. Combining forecasts leads to encouraging gains in predictability, especially for longer-dated maturities, and importantly, these gains are consistent over time.

Keywords: Term structure of interest rates, Nelson-Siegel model, affine term structure model, macro factors, forecast combination, model confidence set

JEL classification: C5, C11, C32, E43, E47

1  Introduction

Modelling and forecasting the term structure of interest rates is by no means an easy endeavor. Since long yields are risk-adjusted averages of expected future short rates, yields of different maturities are intimately related and therefore move together, in the cross-section as well as over time. At the same time, long and short maturities tend to react quite differently to shocks hitting the economy. Furthermore, monetary policy authorities such as the Federal Reserve are actively targeting the short end of the yield curve to achieve their macroeconomic goals. In general, many forces are at work at moving interest rates. Identifying these forces and understanding their impact on yields, is therefore of crucial importance.

In recent years, significant progress has been made in modelling the term structure of interest rates, which has come about mainly through the development of no-arbitrage factor models. The literature on these so-called affine term structure models was kick-started by seminal papers of Vasicek (1977) and Cox, Ingersol, and lRoss (1985), characterized by Duffie and Kan (1996) and classified by Dai and Singleton (2000). A survey of issues involving the specification and estimation of affine models set in continuous time is Piazzesi (2003). Discrete-time models are discussed in detail in Backus, Foresi, and Telmer (1998). Traditional affine models explain yield movements as being driven by a small number of (latent) factors that can be extracted from the panel of yields across time and across maturities, and impose cross-equation restrictions which are consistent with no-arbitrage. Affine models, provided they are properly specified, have been shown to accurately fit the term structure, see for example Dai and Singleton (2000). These models are rather silent, however, about the links between the (mainly) statistical yield factors and macroeconomic forces.

The current term structure literature is actively progressing to resolve this missing link. Recent studies have yielded interesting approaches for studying the joint behavior of interest rates and macroeconomic variables. One avenue that has been taken is to extend existing term structure models by adding in observed macroeconomic variables, and to study their interactions with the latent factors. A seminal contribution to this strand of the literature is Ang and Piazzesi (2003), who were the first to augment a standard three-factor affine model with macroeconomic variables. Studies such as Kim and Wright (2005), Dai and Philippon (2006), DeWachter and Lyrio (2006), Ang, Dong, and Piazzesi (2007), and Bikbov and Chernov (2008), among others, also incorporate various macroeconomic variables and study their explanatory power for yield movements. Studies that take a more structural approach include those by Wu (2005), Hordahl, Tristani, and Vestin (2006), and Rudebusch and Wu (2008), who all combine a model for the macro economy with an arbitrage-free specification for the term structure. Moving away from the realm of no-arbitrage interest rate models to that of more ad-hoc models, in particular the popular Nelson and Siegel (1987) model, studies such as Diebold, Rudebusch, and Aruoba (2006) and Monch (2006) also show that adding information which reflects the state of the economy is beneficial for explaining the level of interest rates.³

Whereas fitting interest rate movements over time is already a strenuous task, accurately forecasting future interest rate levels is an even more difficult challenge. Yields of all maturities are close to being non-stationary, which makes it hard for any model to outperform the simple random walk no-change forecast. Several studies have documented that beating the random walk in terms of forecasting accuracy is indeed difficult, in particular for unrestricted yields-only vector autoregressive (VAR) and standard affine models, see Duffee (2002) and Ang and Piazzesi (2003). Recently, however, more favorable evidence for interest rate predictability has been reported. Duffee (2002) shows that more flexible affine specifications can beat the random walk. Diebold and Li (2006) and Christensen, Diebold, and Rudebusch (2009) show that dynamic Nelson-Siegel-style factor models forecast particularly well. Even more promising results are obtained with models that incorporate macroeconomic information. Ang and Piazzesi (2003) and Mönch (2008) report improved forecasts for U.S. Treasury yields at various horizons using affine models which have been augmented to include principal component-based macro factors. Hordahl, Tristani, and Vestin (2006) report similar improvements in predictability for German zero-coupon bond yields using inflation and industrial production. Ludvigson and Ng (2009) find that macro factors also help to forecast excess bond returns, indicating that macro factors contain predictive information that is not already contained in forward rates and yield spreads.

When examining the historical time series of U.S. interest rates we can easily identify subperiods across which yield curve dynamics appear to be quite different. This not only concerns characteristics such as the level and slope of the yield curve, but also the "stability" of the curve, that is, interest rate volatility. For example, the second half of the 1990s during which the yield curve was fairly stable, was followed by a strong and fast decline in interest rate levels in the early 2000s, accompanied by a pronounced widening of spreads when the Fed eased monetary policy in light of the burst of the dot-com bubble and the subsequent recession. Formal evidence of these kinds of different interest rate regimes is presented for example in Ang and Bekaert (2002).⁴ It seems an overly daunting requirement for any individual model to be capable of consistently producing accurate forecasts under potentially very different interest rate regimes. In this paper, it is exactly this premise that we investigate for the term structure of U.S. interest rates. In order to do so we analyze a range of different models, from simple univariate autoregressive models to multivariate specifications with no-arbitrage restrictions, and we assess their forecasting performance over time.

We analyze each model in our model set with and without adding macroeconomic information to it. More specifically, we add macro factors, which we extract from a large set of individual macroeconomic variables. As noted above, several recent studies have shown that adding macroeconomic variables to term structure models helps to explain and forecast yield movements. Additionally, papers such as Ang and Piazzesi (2003), Monch (2008) and Ludvigson and Ng (2009) document that using macro factors, extracted from a large panel of macro series, instead of individual series works well in affine models. We examine and extend this evidence by incorporating these types of macro diffusion indices also in the Nelson-Siegel model, as well as in simpler AR and VAR models. Our results show that adding macro factors does indeed improve the forecast accuracy of individual models. This only seems to be the case in particular interest rate regimes, however, and results vary across the term structure. As we demonstrate below, and which is part of the main message of this paper, we find that the predictive performance of individual models indeed varies over time considerably. Models that incorporate macroeconomic information are more accurate in subperiods with substantial uncertainty about the future path of interest rates. An example of a regime like this is in and around the 2001 recession. Models that do not include macroeconomic information do particularly well in subperiods where the term structure has a more stable pattern, or when the spread between long and short yields closes, as was the case in the second half of the 1990s for example.

The fact that different models forecast well in different subperiods confirms ex-post that different model specifications play a complementary role in approximating the unobserved data generating process of interest rates. Our results provide a strong incentive for examining forecast combination techniques as an alternative to believing in single models. We find that combining forecasts across all individual models, with and without macro factors, and after trimming out the worst performing models via Model Confidence Set tests as in Hansen, Lunde, and Nason (2003) gives accurate forecasts for short forecast horizons. Forecast combinations of just those models that include macro information, using a weighting method that is based on relative historical performance over a long sample, results in improved forecasts for long forecast horizons. Forecast accuracy in the latter case is particularly encouraging for longer-dated maturities, which traditionally have been difficult to forecast.

The remainder of the paper is organized as follows. In Section 2 we discuss the panel of U.S. Treasury yields we analyze in this study, and we provide details on the panel of macro series that we use in constructing our macro factors. We devote Section 3 to present the set of individual models in our model consideration set. In Section 4 we discuss forecast results of these individual models whereas in Section 5 we outline and analyze results of several forecast combination schemes. Finally, in Section 6 we conclude. The Appendices provide technical details on model inference and forecast evaluation criteria.

2  Data

2.1  Yield Data

Our term structure dataset consists of constant maturity, end-of-month continuously compounded yields on U.S. zero-coupon bonds. These have been constructed from average bid-ask price quotes on U.S. Treasuries from the CRSP government bond files. CRSP filters the available quotes by taking out illiquid bonds and bonds with option features. The remaining quotes are used to construct forward rates using the Fama and Bliss (1987) bootstrap method, as outlined in Bliss (1997). The forward rates are then averaged to construct constant maturity spot rates.⁵ Similar to Diebold and Li (2006) and Monch (2008), our dataset consists of unsmoothed Fama-Bliss yields. These unsmoothed yields exactly price the underlying U.S. Treasury securities.

Throughout our analysis we use yields for $N=13$ different maturities; $\tau=$ 1, 3 and 6 months and 1, 2,$\ldots$, 10 years. We denote time-$t$ yields by $y_{t}^{(\tau_{i})}$ for $i=1,\ldots,N$. For the Nelson-Siegel models we follow Diebold and Li (2006) and Diebold, Rudebusch, and Aruoba (2006) by including additional maturities of 9, 15, 18, 21 and 30 months in order to increase the number of yield observations at the short end of the curve. Our sample period covers January 1970 till December 2003 for a total of 408 monthly observations. Similar to Duffee (2002) and Ang and Piazzesi (2003) we include data from well before the Volcker disinflation period, despite the reservations expressed in Rudebusch and Wu (2008) that it is likely that the pricing of interest rate risk and the relationship between yields and macroeconomic variables have changed during such a long time span. We do so for two reasons: (i) to have enough observations to identify the parameters of the models in our model consideration set with sufficient accuracy, as some models are highly parameterized, and (ii) to be able to assess forecasting performance over sufficiently long (sub-)periods with different yield curve characteristics.

The downside of using the Bliss dataset is that it stops at the end of 2003, well before the financial turmoil that started around July 2008 and which is obviously an interesting period during which to gauge the time-varying forecasting performance of various yield curve models. Two widely-used alternative datasets that contain more recent data are the Fama-Bliss CRSP dataset which is currently updated until the end of 2008, and the real-time dataset of Gurkaynak, Sack, and Wright (2007) (GSW) which is available from the Federal Reserve Board's website. The CRSP dataset only contains maturities up until five years, however, whereas one of our aims in this paper is to study model forecasting performance for longer-dated yields. The drawback of the GSW dataset is that it consists of smoothed fitted yields using the Svensson (1994) extension of the Nelson and Siegel (1987) model. Since we include the two-step Nelson-Siegel specification of Diebold and Li (2006) as one of the models in our model consideration set (albeit that our first-round fitting step uses the original Nelson-Siegel model and not the Svensson extension as in GSW) we do not want to give this approach a potentially unfair advantage.

Figure 1(a) shows time-series plots for a subsample of the 13 maturities in our dataset whereas Table 1 reports summary statistics. The stylized facts common to yield curve data are clearly present: the sample average curve is upward sloping and concave, volatility is decreasing with maturity, autocorrelations are very high and increasing with maturity, and normality is rejected due to positive skewness and excess kurtosis. Correlations between yields of different maturities are high, especially for similar maturities. Even the maturities which are furthest apart (1 month and 10 years) still have a full-sample correlation as high as 86%.

2.2  Macroeconomic Data

Our macroeconomic dataset originates from Stock and Watson (2005) and consists of 116 series. Our macro dataset is the same as that of Ludvigson and Ng (2009). Contrary to Ludvigson and Ng (2009), however, we excluded all interest rate and interest rate spread-related series from the original 132 series in the dataset, discarding 16 series in total. We do include the federal funds rate as being an instrument for the stance of the Fed's monetary policy. The macro variables are classified in 15 categories: (1) output and income, (2) employment and hours, (3) retail, (4) manufacturing and trade sales, (5) consumption, (6) housing starts and sales, (7) inventories, (8) orders, (9) stock prices, (10) exchange rates, (11) federal funds rate, (12) money and credit quantity aggregates, (13) price indices, (14) average hourly earnings and (15) miscellaneous. Table 2 lists the series included in the macro dataset and the category they are classified in.

We transform the monthly recorded macro series, whenever necessary, to ensure stationarity by using log levels, annual differences or annual log differences. Column 2 of Table 2 lists the transformations. Outliers in each individual series are recursively replaced by the median value of the previous five observations, see Stock and Watson (2005) for details. We follow Ang and Piazzesi (2003), Diebold, Rudebusch, and Aruoba (2006), and Monch (2008) and in our use of annual growth rates. Monthly growth rates series are very noisy and are therefore expected to add little information when added to the various term structure models.

We need to be careful about the timing of the macro series relative to the interest rate series to prevent the use of information that has not been released yet at the time when a forecast is made. This in order to make this a realistic pseudo real-time out-of-sample forecasting exercise. The interest rates in our dataset are recorded at the end of the month. Although macro figures tend to be released at the beginning or in the middle of the month, they are typically released with a lag of one up to several several months. We accommodate for a potential look-ahead bias by lagging all macro series by one month, except for financial series; stock index variables, exchange rates and the federal funds rate, which are all monthly averages.⁶

Similar to Monch (2008) and Ludvigson and Ng (2009), we extract a small number of common factors from our macro dataset. Monch (2008), based on the work of Bernanke, Boivin, and Eliasz (2005), builds a no-arbitrage Factor-Augmented term structure model with four factors from a large panel of macroeconomic variables whereas Ludvigson and Ng (2009) use macro factors to predict excess bond returns. As in these papers, we apply principal component analysis to obtain macro factors from the full panel of macro series. Before extracting principal component factors, we first standardize all the series to have zero mean and unit variance, see Stock and Watson (2002a, b) for details. The use of common factors instead of individual macro series allows us to incorporate a much richer information set beyond that contained in often used variables such as CPI, PPI, employment, output gap or capacity utilization alone, while at the same time ensuring that the number of model parameters remains manageable.

For the full sample period, the first common macro factor explains 35% of the variation in the macro panel. The second and third factors explain an additional 19% and 8%, respectively, whereas the first 10 factors together explain an impressive 85%. Figure 2 shows the $R^{2}$ when regressing each individual macro series on each of first three factors separately. These types of regressions allows us to attach economic labels to the factors and to interpret them more as representing meaningful economic variables instead of simply as artifacts from a statistical procedure. The first factor closely resembles the series in the real output and employment categories (categories 1 and 2), as well as categories 3 through 8, and can therefore be labelled business cycle or real activity factor. The second factor loads mostly on inflation measures (category 13) which allows for the label of inflation factor. The third factor, although the correlations are much lower than for the first and second factor, is mostly related to money stock and reserves (category 12) and could thus be labelled a monetary aggregates or money stock factor. Figure 3 corroborates these interpretations graphically through time-series plots of the three macro factors together with industrial production (total), consumer price index (all items) and money stock (M1), respectively.

We have chosen to include the first three factors as exogenous explanatory variables in the various term structure models because, together, these factors explain over 60% of the variation in the macro panel.⁷ Given that we want to construct interest rate forecasts we also need to select a model to forecast the macro factors. We discuss this in more detail in Section 3.1.

3  Models

We assess the individual and combined forecasting performance of a range of models that are commonly used in the literature as well as by practitioners. Since previous studies have shown that parsimonious models often outperform more sophisticated models, we consider models with different levels of complexity. Our model set ranges from unrestricted linear specifications for yield levels (AR and VAR models), models that impose a parametric structure on factor loadings (the Nelson-Siegel class of models), to models that impose cross-sectional restrictions to rule out arbitrage opportunities (affine models). Our benchmark model throughout out forecasting exercise is the random walk model.

We could in principle consider an almost unlimited number of different models. For example, one can think of lots of different models resulting from including various (subsets of) individual macro variables, such as the models of Diebold, Rudebusch, and Aruoba (2006) and Hordahl, Tristani, and Vestin (2006). Although it is true that these models can me more economically meaningful than some of the models we examine, considering each and every one of these would blow up the number of models in our consideration set. To keep the number manageable, we therefore consider only a small but representable subset of models. Furthermore, we circumvent the decision of which individual macro variables to include by basically including all of them through our macro factor approach.

In this section we present the different models. We defer all specific details regarding inference and generating (multi-step ahead) forecasts to Appendix A.

3.1  Incorporating Macro Factors

The approach we use to incorporate the three macro factors is the following. Denote $M_{t}$ as the $(3 \times1)$ vector containing the time-$t$ values of the macro factors. We add the factors to each term structure model, contemporaneously as well as lagged by one month to capture any delayed effects of macroeconomic news on the term structure.⁸ The exogenous explanatory macro information we add to the models is denoted by $X_{t}$, and is thus given by $X_{t}=(M_{t}^{\prime}$ $M_{t-1}^{\prime})^{\prime}$.

Our approach implies that when we forecast yields, we also need to model and forecast the macro factors. We tackle this issue by following AngPiazzesi2003 in only allowing for a unidirectional link from macro variables to yields. Although this can be argued to be a restrictive assumption as it does not allow for a potentially rich bidirectional feedback, it enables us to model the time-series behavior of the macro factors separate from that of yields, which considerably facilitates estimation.⁹ Information criteria suggest modeling and forecasting $M_{t}$ using a VAR model with three lags:

$$M_{t}=c+\Phi_{1} M_{t-1}+\Phi_{2} M_{t-2}+\Phi_{3} M_{t-3}+\xi_{t},\qquad\eps_{t}\sim\mathcal{N}\left( 0,H\right)$$ (1)

where $c$ is a $(3 \times1)$ vector, $\Phi_{i}$ is a $(3 \times3)$ matrix for $i=1,\ldots,3$, and $H$ is a $(3 \times3)$ unrestricted covariance matrix. Forecasts of future factor values can be constructed by forward iteration of the estimated relationship in (1).

3.2  Interest Rate Models

Random Walk

The first model that we consider is a random walk without drift for each individual maturity $\tau_{i}$, $i=1,\ldots,N$,

$$y_{t}^{(\tau_{i})}=y_{t-1}^{(\tau_{i})}+\eps_{t}^{(\tau_{i})}, \qquad\eps_{t}^{(\tau_{i})}\sim\mathcal{N}\left( 0,{\sigma^{(\tau_{i})}} ^{2}\right)$$ (2)

In this model any $h$-step ahead forecast $\hat{y}_{T+h}^{(\tau_{i})}$ is simply equal to the most recently observed value $y_{T}^{(\tau_{i})}$. It is natural to consider this no-change model as the benchmark against which to judge the predictive power of other models, and we do so throughout the paper. Table 1 confirms that yields are indeed all but non-stationary as the reported first-order autocorrelation coefficients are all very close to unity. Duffee (2002), Ang and Piazzesi (2003), Diebold and Li (2006), and Monch (2008) all show, using different models and different forecast periods, that beating the random walk in terms of forecasting performance is quite an arduous task. We denote the random walk model by the abbreviation RW.

AR Model

Although (unreported) results indicate that the null of a unit root for yield levels cannot be rejected statistically, the assumption of nonstationary yields is difficult to interpret from an economic point of view. Nonstationarity implies that interest rates can roam around freely and do not revert back to a long-term mean, something which contradicts the Federal Reserve's monetary policy objective of moderate long-term interest rates. The second model that we consider therefore is a first-order univariate autoregressive model which allows for mean-reversion,

$$y_{t}^{(\tau_{i})}=c^{(\tau_{i})}+\phi^{(\tau_{i})}y_{t-1} ^{(\tau_{i})}+{\psi^{(\tau_{i})}}^{\prime}X_{t}+\eps_{t}^{(\tau_{i})}, \qquad\eps_{t}^{(\tau_{i})}\sim\mathcal{N}\left( 0,{\sigma^{(\tau_{i})}} ^{2}\right)$$ (3)

where $c^{(\tau_{i})}, \phi^{(\tau_{i})}$ and $\sigma^{(\tau_{i})}$ are scalar parameters and $\psi^{(\tau_{i})}$ is a $(6 \times1)$ vector containing the coefficients on the macro factors. We construct forecasts both with and without macro factors by setting $\psi^{(\tau_{i})}=0$. We denote the yield-only model by AR and the model with macro factors by AR-X. For this and all other models we construct iterated $h$-step ahead forecasts. Another approach is to construct direct forecasts, by regressing $y_{t}^{(\tau_{i})}$ directly on its $h$-month lagged value $y_{t-h}^{(\tau_{i})}$ as in Diebold and Li (2006). For the state-space form of the Nelson-Siegel model and the affine model such an approach is, however, uncommon. For the sake of consistency, we therefore chose to use iterated forecasts for all the models. Whether iterated forecasts are more accurate than direct forecasts is still an ongoing debate, see for example the recent discussion in Marcellino, Stock, and Watson (2006). In the context of interest rate forecasting, Carriero, Kapetanios, and Marcellino (2009) find that for linear AR and VAR models the iterated approach produces better forecasts than the direct approach.

VAR Model

Vector autoregressive (VAR) models allow for using the history of other maturities as additional information on top of any maturity's own history. We use the following first-order VAR specification,¹⁰

$$Y_{t} = c + \Phi Y_{t-1}+\Psi X_{t}+H\eps_{t},\qquad\eps_{t} \sim\mathcal{N}\left( 0,\text{I}\right)$$ (4)

where $Y_{t}$ contains the yields for all 13 maturities; $Y_{t}=[y_{t} ^{(1m)},\ldots,y_{t}^{(10y)}]^{\prime}$, $c$ is a $(13 \times1)$ vector, $\Phi$ a $(13 \times13)$ matrix, $\Psi$ a $(13 \times6)$ matrix, and $H$ is the (unrestricted) residual variance matrix containing $\frac{1}{2}N(N+1)=91$ free parameters. Our approach is similar in spirit to the VAR models used in Evans and Marshall (1998), Evans and Marshall (2007) and Ang and Piazzesi (2003) in the sense that we impose exogeneity of macroeconomic variables with respect to yields.

A well-known drawback of using an unrestricted VAR model for yields is that forecasts can only be constructed for those maturities that are actually included in the model. Since we want to construct forecasts for thirteen maturities, this results in a substantial number of parameters that need to be estimated. In an attempt to mitigate estimation error and, consequently, to reduce the forecast error variance, we instead summarize the information contained in the explanatory vector $Y_{t-1}$ by replacing it with a small number of common yield curve factors. Similar to Litterman and Scheinkman (1991) and many other studies, we find that the first 3 principal components explain almost all the variation in the cross section of yields (over 99% for the full sample). Accordingly, we replace $Y_{t-1}$ in (4) with the $(3 \times1)$ vector of yield factors $F_{t-1}$:

$$Y_{t} = c + \Phi F_{t-1}+\Psi X_{t}+\eps_{t},\qquad\eps_{t} \sim\mathcal{N}\left( 0,\text{H}\right)$$ (5)

where $\Phi$ is now a $(13 \times3)$ matrix. The VAR model without and with macroeconomic variables is denoted by VAR and VAR-X, respectively.

Nelson-Siegel Model

Diebold and Li (2006) show that using the in essence static Nelson and Siegel (1987) model as a dynamic factor model generates highly accurate interest rate forecasts. The Nelson-Siegel model differs from the unrestricted VAR model in (5) in that it imposes a parametric structure on the factor loadings. The factor loadings $\Phi$ are specified as exponential functions of time to maturity and a single parameter $\lambda$. Following Diebold, Rudebusch, and Aruoba (2006), the state-space representation of the three-factor model, with a first-order autoregressive model for the dynamics of the state vector, is given by

$$y_{t}^{(\tau_{i})} =\! \beta_{1,t} + \beta_{2,t} \left[ \frac {1\!-\!\exp(-\tau_{i}/\lambda)}{\tau_{i}/\lambda} \right] + \beta_{3,t} \left[ \frac{1\!-\!\exp(-\tau_{i}/\lambda)}{\tau_{i}/\lambda}\! -\! \exp(-\tau_{i}/\lambda) \right] +\eps_{t}^{(\tau_{i})}$$ (6)

$$\beta_{t} =\!a+\Gamma\beta_{t-1}+u_{t}$$ (7)

The state vector, $\beta_{t}=(\beta_{1,t},\beta_{2,t},\beta_{3,t})^{\prime}$, contains the latent factors at time $t$ which can be interpreted as level, slope and curvature factors, respectively (see Diebold and Li (2006) for details). The parameter $\lambda$ governs the exponential decay towards zero of the factor loadings on $\beta_{2,t}$ and $\beta_{3,t}$, $a$ is a $(3 \times1)$ vector of parameters, and $\Gamma$ is a $(3\times3)$ parameter matrix. We assume that the measurement equation and state equation errors in (6) and (7) are normally distributed and mutually uncorrelated;

$$\left[ \begin{array}[c]{c} \eps_{t}\\ u_{t} \end{array} \right] \sim\mathcal{N}\bigg(\left[ \begin{array}[c]{c} 0_{18\times1}\\ 0_{3 \times1} \end{array} \right] , \left[ \begin{array}[c]{cc} H & 0\\ 0 & Q \end{array} \right] \bigg)$$ (8)

where $H$ is a diagonal $(18 \times18)$ matrix and $Q$ a full $(3 \times3)$ matrix. We follow Diebold and Li (2006) by adding five maturities ($\tau=$ 9, 15, 18, 21 and 30 months) to the short end of the yield curve to estimate the Nelson-Siegel model in (6)-(8). To estimate the Nelson-Siegel model, we use two different estimation procedures: a two-step approach and a one-step approach.

The two-step approach is used in Diebold and Li (2006) and consists of first estimating the latent factors in $\beta_{t}$ using the cross-section of yields for each month $t$, while fixing $\lambda$. Given the estimated time-series for the factors, the second step then consists of modeling the dynamics of the factors in (7) by fitting either a joint VAR(1) model, or by estimating separate AR(1) models, thereby assuming that both $\Gamma$ and $Q$ are diagonal. We denote these approaches by NS2-VAR and NS2-AR, respectively. The one-step approach follows from Diebold, Rudebusch, and Aruoba (2006) and involves jointly estimating (6)-(8) as a state space model using the Kalman filter. In this approach we assume that $\Gamma$ and $Q$ are both full matrices, while $\lambda$ is now estimated alongside the other parameters. We denote the one-step approach by NS1.

Diebold, Rudebusch, and Aruoba (2006) show how to extend the Nelson-Siegel model to incorporate macroeconomic variables by adding these as observable factors to the state vector, and then writing the model in companion form:

$$y_{t}^{(\tau_{i})} =\! \beta_{1,t} + \beta_{2,t} \!\!\left[ \!\frac{1\!-\!\exp(-\tau_{i}/\lambda)}{\tau_{i}/\lambda} \right] + \beta_{3,t} \!\!\left[ \! \frac{1\!-\!\exp(-\tau_{i}/\lambda)}{\tau _{i}/\lambda}\! -\! \exp(-\tau_{i}/\lambda) \right] +\eps_{t}^{(\tau_{i} )}$$ (9)

$$f_{t} =\!a+\Gamma f_{t-1}+\eta_{t}$$ (10)

$$\left[ \begin{array}[c]{c} \eps_{t}\\ \eta_{t} \end{array} \right] \sim\mathcal{N}\bigg(\left[ \begin{array}[c]{c} 0_{18\times1}\\ 0_{12 \times1} \end{array} \right] , \left[ \begin{array}[c]{cc} H & 0\\ 0 & Q \end{array} \right] \bigg)$$ (11)

The state vector now also contains observable factors; $f_{t}=(\beta _{1,t},\beta_{2,t},\beta_{3,t},M_{t},M_{t-1},M_{t-2})$ .¹¹ The dimensions of $a$, $\Gamma$ and $Q$ are increased appropriately and $\eta_{t}$ is now given by $\eta_{t}=(u_{t}^{\prime},\xi _{t}^{\prime},0,\ldots,0)^{\prime}$ . We impose structure on $\Gamma$ and $Q$ to accommodate for the effects of lagged macro factors while maintaining the unidirectional causality from macro factors to yields only.¹² In particular, the lower left ($9 \times3$) block of $\Gamma$ consists of zeros whereas $Q$ is block diagonal with a non-zero $(3 \times3)$ block $Q_{\beta}$ for the yield factors and a non-zero $(3 \times3)$ block $Q_{M}$ for the contemporaneous macro factors. All other blocks on the diagonal contain zeros only. The Nelson-Siegel model with macro factors can also again be estimated by using either a two-step approach with AR or VAR dynamics for the yield factors, which we denote by NS2-AR-X and NS2-VAR-X, respectively, or by using the one-step approach, which we denote by NS1-X. Another potential specification of the Nelson-Siegel model would be that of Christensen, Diebold, and Rudebusch (2009) who adjust the Nelson-Siegel model to make it consistent with arbitrage-free models (to be discussed in the next section). Although Christensen, Diebold, and Rudebusch (2009) show that the Arbitrage-Free Dynamic Nelson-Siegel (AFDNS) model forecasts well out-of-sample, Carriero, Kapetanios, Marcellino (2009), using a longer forecasting sample, report that the performance of the AFDNS model is not that different from the two-step Nelson-Siegel model. Because our model set is already large as it is, we therefore chose not to include the AFDNS model in our model set.

Affine Model

Models that impose no-arbitrage restrictions have been examined for their forecast accuracy in for example Duffee (2002), Ang and Piazzesi (2003) and Mönch (2008). The attractive property of the class of no-arbitrage models is that sound theoretical cross-sectional restrictions are imposed on factor loadings to rule out arbitrage opportunities. In this paper we consider a Gaussian-type discrete time affine no-arbitrage model, using a set-up similar to Ang and Piazzesi (2003). In particular, we assume that movements in the yield curve are driven by a vector of $K$ underlying state variables, $Z_{t}$, which we assume follows a Gaussian VAR(1) process

$$Z_{t}=\mu+\Psi Z_{t-1}+u_{t},\qquad u_{t}\sim\mathcal{N} \left( 0,\Sigma\Sigma^{\prime}\right)$$ (12)

where $\Sigma$ is a $(K \times K)$ lower triangular Choleski matrix, $\mu$ a $(K \times1)$ parameter vector and $\Psi$ a $(K \times K)$ parameter matrix.

The short interest rate is assumed to be an affine function of the factors

$$r_{t}=\delta_{0}+\delta_{1}^{\prime}Z_{t}$$ (13)

where $\delta_{0}$ is a scalar and $\delta_{1}$ a $(K \times1)$ vector. We adopt a standard form for the pricing kernel, which is assumed to price all assets in the economy,

$$m_{t+1} = \exp\!{\big(\!-\!r_{t}-\frac{1}{2}\lambda_{t}^{\prime}\lambda _{t}-\lambda_{t}^{\prime}u_{t+1}\big)} \non$$

We specify market prices of risk to be time-varying and affine in the state variables

$$\lambda_{t}=\lambda_{0}+\lambda_{1}Z_{t}$$ (14)

with $\lambda_{0}$ a $(K \times1)$ vector and $\lambda_{1}$ a $(K \times K)$ matrix. Risk premia are constant over time if $\lambda_{1}$ is equal to a zero matrix. When $\lambda_{0}$ is also equal to zero, risk premia are zero altogether.

Under the above assumptions it can be shown that bond prices are an exponentially-affine function of the state variables,

$$P_{t}^{(\tau)}=\exp[A^{(\tau)}+{B^{(\tau)} }^{\prime}Z_{t}]$$ (15)

We can recursively determine the price of a $\tau-$period bond using

$$P_{t}^{(\tau)}=\mathbb{E}_{t}[m_{t+1} P_{t+1}^{(\tau-1)}]$$ (16)

where the expectation is taken under the risk-neutral measure. Ang and Piazzesi (2003), among others, show that this gives the following recursive formulas for the bond pricing coefficients $A^{(\tau)}$ and $B^{(\tau)}$:

$$A^{(\tau+1)} =A^{(\tau)}+{B^{(\tau)}}^{\prime}[\mu-\Sigma\lambda_{0} ]+\frac{1}{2}{B^{(\tau)}}^{\prime}\Sigma\Sigma^{\prime(\tau)}-\delta _{0}$$ (17)

$${B^{(\tau+1)}}^{\prime} ={B^{(\tau)}}^{\prime}[\Psi-\Sigma\lambda _{1}]-\delta_{1}^{\prime}$$ (18)

when starting from $A^{(0)}=0$ and $B^{(0)}=0$. If bond prices are exponentially affine in the state variables then yields are affine in the state variables since $P_{t}^{(\tau)}\!=\!\exp[-y_{t}^{(\tau)}\tau]$. Consequently, it follows that $y_{t}^{(\tau)}=a^{(\tau)}+{b^{(\tau)}}^{\prime }Z_{t}$ with $a^{(\tau)}=-A^{(\tau)}/\tau$ and $b^{(\tau)}=-B^{(\tau)}/\tau$. To estimate the model we deviate from the popular Chen and Scott (1993) approach and instead assume that every yield is contaminated with measurement error in a state-space estimation set-up.

To summarize, we specify the following affine model

$$y_{t}^{(\tau_{i})} = a^{(\tau_{i})}+b^{(\tau_{i})} Z_{t}+\eps_{t}^{(\tau_{i})}$$ (19)

$$Z_{t} =\mu+\Psi Z_{t-1}+u_{t}$$ (20)

$$\left[ \begin{array}[c]{c} \eps_{t}\\ u_{t} \end{array} \right] \sim\mathcal{N}\bigg(\left[ \begin{array}[c]{c} 0_{13\times1}\\ 0_{3 \times1} \end{array} \right] , \left[ \begin{array}[c]{cc} H & 0\\ 0 & Q \end{array} \right] \bigg)$$ (21)

where $H$ is assumed to be a diagonal matrix, $Q=\Sigma\Sigma^{\prime}$, and $a^{(\tau_{i})}$ and $b^{(\tau_{i})}$ are the recursive yield equation functions. We assume $Z_{t}$ to consist of $K=3$ common factors. We denote this model by ATSM.

We extend the model to incorporate observable macroeconomic factors in a similar way as for the Nelson-Siegel model,

$$y_{t}^{(\tau_{i})} = a^{(\tau_{i})}+b^{(\tau_{i})} f_{t}+\eps_{t}^{(\tau_{i})}$$ (22)

$$f_{t} =\mu+\Psi f_{t-1}+\eta_{t}$$ (23)

$$\left[ \begin{array}[c]{c} \eps_{t}\\ \eta_{t} \end{array} \right] \sim\mathcal{N}\bigg(\left[ \begin{array}[c]{c} 0_{13\times1}\\ 0_{12 \times1} \end{array} \right] , \left[ \begin{array}[c]{cc} H & 0\\ 0 & Q \end{array} \right] \bigg)$$ (24)

with $f_{t}=(Z_{t},M_{t},M_{t-1},M_{t-2})$. The state equation (23) is written in companion form and the dimensions of $a^{(\tau_{i})}$, $b^{(\tau_{i})}$, $\mu$, $\Psi$ and $Q$ are again increased appropriately. As in the Nelson-Siegel model, $Q$ is block diagonal with only two non-zero blocks, $Q_{Z}$ and $Q_{M}$. Unlike in the Nelson-Siegel model, however, in the affine model yield movements are also directly related to current and past macro movements through the bond pricing coefficients. We do assume that the short rate and risk premia only depend on contemporaneous values of the macro factors, i.e. we set all coefficients in $\delta _{0},\delta_{1},\lambda_{0}$ and $\lambda_{1}$ associated with $M_{t-1}$ and $M_{t-2}$ equal to zero, similar to the 'macro model' in Ang and Piazzesi (2003). We denote the affine model with macroeconomic factors by ATSM-X.

We want to note two points here. First, our affine-with-macro model is a hybrid between the macro model of Ang and Piazzesi (2003) and the FAVAR model of Monch (2008). Compared to Ang and Piazzesi (2003) we use macro factors that are based on many more macro variables, whereas compared to Monch (2008) we also incorporate latent yield factors. The yield factors are likely to improve the predictive ability of the model because the yield factors can better pick up high-frequency movements in yields (see also the discussion in Monch (2008)). Second, we estimate the affine model using the Kalman Filter where we assume that every yield has measurement error. This implies that the factors in $f_{t}$ are not simply a linear combination of yields so that the macro factors do truly add exogenous information to the model.

Adding macroeconomic variables or factors to affine models can cause estimation problems because it further increases the number of parameters in these already highly parameterized models.¹³ To speed ups as well as to facilitate the estimation procedure, we therefore use the two-step approach of Ang, Piazzesi, and Wei (2006) by making the latent yield factors observable. Contrary to Ang, Piazzesi, and Wei (2006), however, who directly use the observed short rate and the term-spread as measures of the level and slope of the yield curve, we use principal component analysis to extract common factors from the full set of yields. We use the first three factors as our observable state variables.

4  Forecasting

4.1  Forecast Procedure

We divide our dataset into an initial estimation sample which covers the period 1970:1 - 1988:12 (228 observations) and a forecasting sample which is comprised of the remaining period 1989:1 - 2003:12 (180 observations). The first sixty months of the forecast period are used as a training sample to start up the forecast combinations discussed in Section 5. Consequently, we report forecast results for the sample 1994:1 - 2003:12 (120 observations).

We recursively estimate models using an expanding window, starting from the initial sample 1970:1 - 1988:12.¹⁴ Given a set of parameter estimates, we construct point forecasts for four different horizons: $h=1, 3, 6$ and 12 months ahead. As discussed in the previous section, for horizons beyond $h=1$ month we compute iterated forecasts. To prevent data-snooping, we also recursively construct the macroeconomic factors (see Section 2.2), as well as the yield curve factors used in the VAR and the ATSM.

4.2  Forecast Evaluation

To evaluate out-of-sample forecasts we compute popular error metrics, per maturity and per forecast horizon. For a full sample evaluation we compute the Root Mean Squared Prediction Error (RMSPE). Similar to Hordahl, Tristani, and Vestin (2006) we also summarize the forecasting performance of each model across all maturities for a given forecast horizon by computing the Trace Root Mean Squared Prediction Error (TRMSPE), see Christoffersen and Diebold (1998) for details.

The drawback of using (T)RMSPE statistics is, however, that these are single statistics summarizing individual forecasting errors over an entire sample. Although often used, unfortunately they do not give any insight as to where in the sample models make their largest and smallest forecast errors. We therefore also graphically analyze the Cumulative Squared Prediction Errors (CSPE) used in Welch and Goyal (2008). These cumulative squared prediction error series clearly show in which months models outperform and in which months they underperform a given benchmark (here the random walk model). The model-$m$, time-$T$ CSPE for a $\tau_{i}$-month maturity is given by

$$_{m,T}(\tau_{i})=\sum_{t=1}^{T}\left[ \left( \widehat{y} _{t+h\vert t,\text{RW}}^{(\tau_{i})}-y_{t+h}^{(\tau_{i})} \right) ^{2} - \left( \widehat{y}_{t+h\vert t,m}^{(\tau_{i})}-y_{t+h}^{(\tau_{i})} \right) ^{2}\right]$$ (25)

where $y_{t+h}^{(\tau_{i})}$ is the yield for a $\tau_{i}$-month maturity observed at time $t+h$, while $\widehat{y}_{t+h\vert t,m}^{(\tau_{i})}$ is its model-$m$ forecast, made at time $t$. See Appendix B for further detailed formulas.

To test for statistically significant differences in forecasting accuracy between competing models we apply the Model Confidence Set (MCS) approach developed by Hansen, Lunde, and Nason (2003), Hansen, Lunde, and Nason (2005). Given a set of competing forecasting models, $M_{0}$, the MCS procedure identifies the MCS $\widehat{M}_{\alpha}^{*}\subset M_{0}$, which is the set of models that contains the "best" forecasting model given a confidence level $1-\alpha$. Starting from the full set of models, $M=M_{0}$, and a vector of $R$ forecasts, the MCS procedure repeatedly tests the null hypothesis of equal forecasting accuracy,

$$H_{0,M}: E[d_{ij,t}]=0,\;$$   for all $$\, i,j \in M,$$

where $d_{ij,t}=L_{i,t}-L_{j,t}$ is the loss differential between models $i$ and $j$ in the set, with $L$ being an appropriate loss function. The MCS procedure sequentially eliminates the worst performing models from $M$ as long as the null is rejected. This procedure is repeated until the null is no longer rejected, in which case the surviving set is $\widehat{M}_{\alpha}^{*}$. We follow Hansen, Lunde, and Nason (2003) by using their semi-quadratic statistic which gives the following $t-$ statistics:

$$T_{SQ}\equiv\sum_{i,j\subset M}t_{ij}^{2},$$

where $t_{ij}=\frac{\overline{d}_{ij}} {\sqrt{\widehat{var}(\overline{d} _{ij})}}$ for $i,\,j\subset M$ and $\overline{d}_{ij}=\frac{1}{R}\sum _{t=T}^{T+R-1}d_{ij,t}$. Similarly, we implement the MCS procedure using the stationary block bootstrap of Politis and Romano (1994) with an average block length of 20 months and we the squared forecast error as loss function.

In the tables below we report results for confidence levels of $1-\alpha=90\%$ and $1-\alpha=75\%$. The test is performed independently for different maturities and forecast horizons.

4.3  Forecasting Results: Individual Models

We start our discussion of the forecasting performance of individual models by considering the results in Panels A and B of Tables 3 to 6. The first row of each table reports the (T)RMSPE for the random walk model, whereas the remaining rows in Panels A and B are (T)RMSPEs relative to those of the random walk. Any number below one therefore indicates outperformance relative to the random walk, whereas any number larger than one signals underperformance. Two stars next to the RSMPE individual models indicates that a model belongs to the model set $\widehat{\mathcal{M}}^{*}_{0.25}$ according to the $T_{SQ}$ test statistic, whereas one star is for when it belongs to the model set $\widehat{\mathcal{M} }^{*}_{0.10}$ instead. Figures 12 to 15 show time-series plots of the realized and predicted yields, both for individual models as well as for forecast combination methods (discussed in Section 5).

At first sight the results in Tables 3 to 6 are disappointing if we focus solely on the TRMSPE results in the first column of each table. There is not a single model that, across the board of maturities, consistently outperforms the random walk for all forecast horizons, as reflected by the relative TRMSPE statistics. In addition, when considering each horizon in isolation, still only a few models produce forecasts which are more accurate than simply repeating the last known value, and for those that do the improvements are often only marginal. The univariate autoregressive model augmented with macro factors gives the lowest TRMSPE for short horizons (1 and 3 months), whereas the VAR model with macro factors does so for longer horizons (6 and 12 months). More complex models such as the affine and Nelson-Siegel models perform poorly.

Focusing on specific maturities gives us more and different insights however. Predictability tends to be relatively high for short forecast horizons and short maturities as evident from the relative RMSPE statistics. For example, for the 1-month yield the majority of models outperform the random walk at both the 1-month and 3-month forecast horizon. Moreover, for both horizons the random walk is not in the final full-sample Model Confidence Set. For medium maturities, such as the 1-year and 2-year yield, the random walk is more difficult to beat, although the MCS tends to be smallest for these yields, consisting primarily of the random walk and the AR-X model. Although some models still provide RMSPE statistics below one for long maturities, only a few models, if any, are dropped from the final MCS. For example, for the 10-year yield all models end up in the MCS at the 3-month horizon.

For the 6-month and 12-month forecast horizons, using macroeconomic information seems to be a pre-requisite for obtaining at least some level of predictability. Among the macro-augmented yield models, the VAR-X model outperforms the random walk most consistently across maturities, in particular for a 12-month horizon. Contrary to its results for shorter forecast horizons, the AR-X model is now accurate only for short maturities. Interestingly, the most accurate forecasting models for short maturities are the NS1-X and ATSM-X models. For medium and longer-dated maturities, imposing no-arbitrage restrictions on factor loadings does not help in forecasting yields. This result is consistent with Duffee (2009) who argues that no-arbitrage restrictions have no practical effect on forecast accuracy.

With the exception of one case - the ATSM for the 1-month yield for a 6-month forecast horizon - not a single yield-only model outperforms the random walk. Despite this, however, it proves to be very difficult to eliminate these models from the final Model Confidence Set. Only in rare occasions do models get discarded, indicating a substantial degree of model uncertainty. A final interesting observation to make from Tables 3 to 6 is that the two-step Nelson-Siegel models, regardless of whether these incorporate macroeconomic information or not, perform poorly across maturities and forecast horizons. This appears to contradict the results of Diebold and Li (2006) who find that the Nelson-Siegel model, especially the NS2-AR model, forecasts particularly well during the 1994-2000 period. As we will show below, the Nelson-Siegel model turns out to be one of the most prominent examples of the extent to which the forecast accuracy of term structure models can vary over time.

To further gauge the degree of model uncertainty, we analyze Cumulative Squared Prediction Error graphs. Because we construct forecasts for the entire sample period 1989 - 2003, we first take a step back and discuss results for the entire fifteen-year out-of-sample forecast period. The reason for doing this is that it also allows us to analyze our five-year training period. We feel this is interesting because it can give us some insights in the initial forecast combination weights, but more importantly, because the training period contains the 1990-1991 recession. Figures 4 to 7 show CSPEs for yield-only and macro models separately for each forecast horizon.¹⁵ Each line in the graph represents a different model and shows how that particular model performs relative to the random walk benchmark. In particular, an increasing CSPE indicates outperformance whereas a decreasing CSPE indicates that the random walk is making smaller forecasting errors.

As shown by the yellow bars in Figures 4 to 7, our out-of-sample period contains two NBER recessions. Both these recessions are characterized by a steep decline in short term interest rates as the Fed lowered its target interest rate, and by a sharp increase in the spread between long and short rates, see Figure 1(b). As it is also evident from earlier recessions, shown in Figure 1(a), spreads tend to remain high for quite a while until the Fed starts to raise short term interest rates again. The period in between the 1990-1991 and 2001 recessions, in particular the period 1994-2000, looks quite different on the other hand with much more stable interest rate dynamics, and seems best described as a low-volatility, low-spread regime for interest rates. Interestingly, Duffee (2002), Ang and Piazzesi (2003), and Diebold and Li (2006), among others, all tend to report a fair amount of predictability for this period. The CSPE graphs allow us to examine in much more detail how models perform during this period as well as during both recession periods, virtually on a month-to-month basis. Similar to us, Monch (2008) and Carriero, Kapetanios, and Marcellino (2009) compare the forecast performance of a range of different models. They find that their preferred FAVAR and BVAR model, respectively, have the best relative RSME performance. To check the robustness of this result, they perform subsample analysis. However, both studies do so by considering just two subsamples, so we can still only judge models based on a single summary statistic for each subsample. This again does not give any real insight into where and why models perform well or not.

Although our out-of-sample period only contains two recessions, we believe the CSPE graphs reveal four important features. First, macro models perform better just prior to and during recessions. The CSPE lines are increasing in those periods, indicating that macro models forecast more accurately than the random walk. This is particularly true for long forecast horizons, see for example Figure 7. As several macro models simultaneously outperform the random walk, it clearly is the case that it is the macroeconomic information that is driving this result, and not so much any specific model. Ludvigson and Ng (2009) offer an interesting insight which can explain why macro information is useful in and around recessions. They find that macro factors explain risk premia much more than yield information does. Furthermore, they show that during recessions risk premia account for the largest portion of yield levels, implying that macro models will be better capable of forecasting the direction of yields in and around recessions. This certainly seems to be the case judging from Figures 4 to 7.

Second, most models perform poorly when the spread between long and short interest rates is high, after rates have begun to stabilize, but with medium-maturity yields being closer to short than they are to long rates. This is a typical shape of the term structure one or two years after recessions, in our case 1992-1993 and 2003. Only the AR-X models seems capable of coping this situation. Multivariate models all struggle in these periods. This is perhaps due to the fact that the larger number of estimated model parameters result leads to a less accurate fit of the term structure during these periods, which in turn is likely to lead to poor forecasts. Favero, Niu, and Sala (2009) offer some interesting insights on the role of estimation error on the forecasting performance of affine models, especially for longer-maturity yields. See also Duffee (2009) for comments on the numerical instability of affine models.

Third, yield-only models perform well in expansionary periods such as 1994-1998, corroborating the results in the above-mentioned studies, but very poorly in and around recession periods.

Fourth, and this is our most important point, there is not a single model that clearly performs well across all maturities and forecast horizons. Hence there is a substantial degree of model uncertainty. Believing in any single model all the time can give very accurate forecasts in one period but, more troublesome, potentially very poor forecasts in other periods. Probably the best example of this is the Diebold and Li (2006) NS2-AR model. Figures 4 to 7 confirm the Diebold and Li (2006) results that the NS2-AR model gives very accurate forecasts for the period from 1994 to 2000, especially for longer forecast horizons. However, the CSPE graphs also show that most, if not all, of these forecast gains are confined to 1994 and 1995 when the NS2-AR model is by far the best performing model. During the years after 1995, the CSPE lines are all but flat, indicating that NS2-AR forecasts are about as accurate as the random walk model. Immediately following both the 1991 and 2001 recession, the NS2-AR performs by far the worst out of all models, as evidenced by the precipitous drop in CSPEs. All in all, the NS2-AR model is a prime example of the degree to which the forecast accuracy of term structure models can vary over time. Monch (2008) also notes that "$\dots$ some of the strong forecast performance of the Nelson-Siegel model documented by Diebold and Li may be due to their choice of forecast period."

Because in the end our main focus is on the 1994-2003 out-of-sample period, we show CSPEs in Figure 8 to 11 for the 1994-2003 period in the left-hand side and middle panels for individual models. These graphs therefore cover the same period as in Tables 3-6 and exclude the 1991 recession.¹⁶ In the next section we will confront these graphs with CSPE graphs based on forecast combinations, the right-hand side panels.

5  Forecast Combination

Our cumulative squared prediction error analysis reveals that it is seems virtually impossible to identify a single model that consistently outperforms the random walk for an entire out-of-sample period. The forecasting ability of individual models clearly varies over time considerably. Each model appears to play a complementary role in approximating the data generating process, at least during subperiods. Model uncertainty is troublesome if one has hopes of obtaining a single model for forecasting. A worthwhile endeavor for cushioning the effects of model uncertainty is to combine the forecasts of different models, see Timmermann (2006) for a recent survey. For example, one "solution" as to whether to impose no-arbitrage restrictions or not is to simply combine the forecasts from no-arbitrage models with those from unrestricted models. In this section we therefore examine several forecast combination schemes. Two combination methods are standard approaches which combine forecasts from all available models. In the third scheme we first filter out the worst-performing individual models before combining the forecasts from the remaining models. Below, we first discuss the different schemes. We then examine the forecast combination results and compare these with the single-model results for the 1994 - 2003 out-of-sample period.

5.1  Forecast Combination Schemes

Assuming we are combining forecasts from $M$ different forecast models, a combined forecast for a $h$-month horizon for the yield with maturity $\tau_{i}$ is given by $\widehat{y}_{T+h\vert T}^{(\tau_{i})}=\sum_{m=1} ^{M}w_{T+h\vert T,m}^{(\tau_{i})}\widehat{y}_{T+h\vert T,m}^{(\tau_{i})}$ , where $w_{T+h\vert T,m}^{(\tau_{i})}$ denotes the weight assigned to the time-$T$ forecast from the $m^{\text{th}}$ model; $\widehat{y}_{T+h\vert T,m}^{(\tau_{i})}$.

Scheme 1: Equally Weighted Forecasts

The first forecast combination method we consider assigns equal weights to the forecasts from all individual models, i.e. $w_{T+h\vert T,m}^{(\tau_{i})}=1/M$ for $m=1,\ldots,M$. We denote the resulting combined forecast as Forecast Combination - Equally Weighted (FC-EW). As explained in Timmermann (2006), this approach is likely to work well if forecast errors from different models have similar variances and are highly correlated. Unreported statistics confirm that forecast errors from the individual models are indeed highly correlated here and have high variance.

Scheme 2: Inverted MSPE-Weighted Forecasts

The second forecast combination scheme we examine uses weights which are based on relative historical performance. More specifically, model weights are based on each model's (inverted) MSPE, relative to those of all other models, computed over a window of the previous $\upsilon$ months. We denote these performance-based combinations forecasts by Forecast Combination - MSPE (FC-MSPE).¹⁷ The weight for model $m$ is computed as ${w}_{T+h\vert T,m}^{(\tau_{i} )}=\frac{1/\text{MSPE}_{h\vert T,m}^{(\tau_{i})}}{\sum_{m=1}^{M}(1/\text{MSPE} _{h\vert T,m}^{(\tau_{i})})}$ where MSPE$_{h\vert T,m}^{(\tau_{i})}\!=\!\frac {1}{\upsilon}\sum_{r=1}^{\upsilon}(\widehat{y}_{T-r+1\vert T-h-r+1,m}^{(\tau_{i} )}-y_{T-r+1}^{(\tau_{i})})^{2}$ . A model with a lower MSPE is given a relatively larger weight than a worse performing model, see Timmermann (2006) for a discussion and Stock and Watson (2004) for an application to forecasting GDP growth. The weights applied in this and the previous forecast combination scheme are always bounded between 0 and 1. Other approaches for which this does not necessarily need to be the case, in particular OLS-based weights (see again Timmermann (2006)), proved to be problematic here due to multicollinearity problems among the different forecasts. This resulted in often extreme (offsetting) weights and we therefore decided not to further pursue these approaches.

The number that should be used for $\upsilon$ is difficult to determine a priori. Using a smaller window will make weights more responsive to changes in models' forecasting accuracy, but at the same time it will also tend to make them more noisy. The optimal choice of $\upsilon$ will therefore need to be determined empirically. Somewhat counterintuitive maybe, we found that using an expanding window approach works the best. We tried different lengths in a moving window approach (in particular, $\upsilon=12$, 24 and 60 months) but for shorter windows results were (marginally) worse. Similarly, a weighted approach using declining weights for older forecast errors as in Diebold and Pauly (1987) also gave worse results. We settled on using an expanding window, whose length is initially set to $\upsilon=60$ months but which increases with every new yield realization that becomes available.

Finally, for Scheme 1 and 2 we distinguish between using forecasts of macro models only; FC-EW-X and FC-MSPE-X, and combining forecasts across all models; FC-EW-ALL and FC-MSPE-ALL.

Scheme 3: Trimming Via Model Confidence Set

The Model Confidence Set approach for evaluating forecast performance, as described in Section 4, can also be implemented as an initial model elimination mechanism. The idea of trimming the available set of models prior to combining forecasts has been proposed in several studies, see for example Timmermann (2006). As these studies show, trimming is an efficient way to first discard of the "worst" models, and then combine the forecasts from the surviving models. The MCS approach seems particularly suitable for doing so because it requires few a priori decisions, such as for example having to select the number of remaining models. As the MCS grows and shrinks over time, so does the number of models whose forecasts are combined into a single number.

As our third and final forecast combination scheme we therefore combine forecasts from models that survive the MCS approach, using equal and MSPE-based weights. Specifically, in order to construct a $h$-month ahead combination forecast at time $T$, we use the $T_{SQ}$ statistic to construct $\widehat{\mathcal{M}}^{*}_{0.25}$, using a confidence level of $1-\alpha= 75\%$.¹⁸ We determine $\widehat{\mathcal{M}}^{*}_{0.25}$ using an expanding window of previous forecasts, starting from the initial sixty-month sample 1989:1 - 1993:12. To determine the MCS we always start by inserting all available individual models, i.e. the entire set $M_{0}$, so as not to have to make a (subjective) initial model selection.

By studying which models are contained in $\widehat{\mathcal{M}}^{*}_{0.25}$ over time we can also again infer information about the consistency of models' forecasting performance. In Tables 3 to 6 we therefore also report the percentage of times each individual model is included in the model confidence sets for the 1994:1 - 2003:12 sample (in parentheses below each (relative) (T)RMSPE statistic). For example, a number close to one indicates that a model is nearly always included in the combination set, whereas a number close or equal to zero shows that it is typically excluded.¹⁹

5.2  Forecast Combination Results

We feel that there are at least three important conclusions that we can draw from the forecast combination results in Tables 3-6 and Figures 8 to 11. First, several forecast combination schemes perform better or similar to the random walk across different forecast horizons. TRMSPEs and RMSPEs are often below one, albeit marginally in some cases. Compared to the best performing individual models, prediction errors for the forecast combination schemes are somewhat higher, but they certainly seem to be more stable, as is evident from the right-hand side panels in Figures 8 to 11, even though it may not be initially clear from Figures 12 to 15. Focusing on Figures 8 to 11, the performance variability associated with macro models is reduced substantially in the first part of the sample and the bad performance of yield-only models during and after the 2001 recession is mitigated.

Second, averaging across all the models, after trimming out the worst performing ones using the MCS approach, gives the best performance for shorter forecast horizons (the bottom two lines in the tables). The gains are particular encouraging for shorter maturities. The inclusion percentages (in parentheses in the tables) reveal that this trimming-via-MCS scheme nearly always select the best performing individual models in the forecast combination. For example, with a 1-month horizon for the 1-month maturity, the VAR, VAR-X, ATSM, ATSM-X, and the NS2-VAR-X models, are basically always included. In other cases, such as for example for the same horizon but now for the 1-year maturity, only a single model (AR-X) actually makes it into the MCS. The differences between using equal and MSPE weights are minor, enforcing the conclusion that it is the trimming procedure which is most beneficial to the forecast combination method, not so much which weights are used to sum the individual forecasts. The light-blue lines in Figures 8 and 9 show that the FC-MCS-EW scheme does not always necessarily provide the best forecasts, but it certainly produces much less prediction error volatility.

Third, averaging only across macro models produces the most accurate forecasts for longer horizons. The MCS inclusion percentages indicate that it is very difficult to discard models and many specifications indeed have high inclusion percentages. However, combining forecasts of macro models only, lines 4 in Panel C in each table, gives RMSPE ratios which are almost always below one, in particular for the twelve-month horizon. The FC-MSPE-X scheme appears to be the best forecasting strategy. Figures 10 and 11 reveal that that is in part due to the fact that the FC-MSPE-X performs best during and after the 2001 recession. Nevertheless, the results suggest that the past performance of individual models provides a useful insight as to which models to include in the forecast combination. Going back to Table 6, the FC-MSPE-X scheme does particularly well across maturities for the twelve-month horizon but, quite important, especially for longer-dated maturities. Earlier studies with individual models tend to find that it is typically very hard to accurately forecast long-term rates and our results in Panel A and B confirm this. The outperformance of the FC-MSPE-X scheme relative to the random walk is 8% for the ten-year maturity whereas the best individual model (AR-X) is only barely below one. This result suggest that forecasting combinations can potentially be very useful for forecasting long-maturity yields with long forecast horizons.

6  Conclusion

This paper addresses the task of forecasting the term structure of interest rates. Several recent studies have shown that significant steps forward are being made in this area. We contribute to the existing literature by further assessing the importance of incorporating macroeconomic information, and, in particular, by examining model uncertainty. Our results show that incorporating macroeconomic information indeed helps to improve forecasts of individual models. Our main result, however, is that the predictive performance of individual models can be strongly time-varying, which makes putting all one's eggs in a single model basket risky. Our suggested alternative, combining forecasts across different models, not only mitigates model uncertainty, but also results in accurate forecasts.

We have examined the forecast accuracy of a range of models with varying degrees of complexity. We showed that the predictive ability of individual models varies over time considerably. Models that incorporate macroeconomic variables are more accurate during interest rate regimes where the uncertainty about the future path of interest rates is substantial. As an example we mention the period during and after the 2001 recession. Models without macro information do particularly well in subperiods where the term structure has a more stable pattern (such as in the late 1990s) or when the spread between long and short-maturity yield closes.

The fact that different models forecast well in different subperiods confirms ex-post that alternative model specifications play a complementary role in approximating the data generating process. We believe our results provide a strong claim for using forecast combination techniques as an alternative to believing in a single model. We show that combining forecasts of all individual models with and without macro factors, after trimming out the worst performing models using the Model Confidence Set approach, gives accurate forecasts for short forecast horizons. Combination forecasting of models with macro information, using a weighting method that is based on relative historical performance over a long sample, results in superior forecasts for long forecast horizons. The gains in the latter case are particularly encouraging for longer-dated maturities, which have proven to be notoriously difficult to predict.

References

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A  Individual Interest Rate Models

In this appendix we provide some further details on how we perform inference on the parameters of each of the models in Section 3.

A.1  AR Model

We estimate the parameters $\{c^{(\tau_{i})}, \phi^{(\tau_{i})}, \psi ^{(\tau_{i})}\}$ using standard ordinary least squares (OLS). Given the parameter estimates, we construct iterated forecasts as

$$\widehat{y}_{T+h}^{(\tau_{i})}=\hat{c}^{(\tau_{i})} +\hat{\phi}^{(\tau_{i})}\widehat{y}_{T+h-1}^{(\tau_{i})}+{\hat{\psi}} ^{(\tau_{i})^{\prime}}\widehat{X}_{T+h}$$ (A-1)

with $\widehat{y}_{T}^{(\tau_{i})}=y_{T}^{(\tau_{i})}$. We construct forecasts from the AR model both with and without macroeconomic factors. The macro factor forecasts, $\widehat{X}_{T+h}$, are iterated forecasts constructed from the VAR(3) macro factor model.

A.2  VAR Model

We estimate the equation parameters $\{c, \Phi, \Psi\}$ in (5) using equation-by-equation OLS as each equation has an identical set of regressors. We construct forecasts as follows:

$$\widehat{Y}_{T+h}=\widehat{c}+\widehat{\Phi}\widehat{F}_{T+h-1}+\widehat{\Psi }\widehat{X}_{T+h}$$ (A-2)

where we compute the yield factor forecasts, $\widehat{F}_{T+h-1}$, by first calculating the principal component factor loadings using data only up until month $T$ and then multiplying these loadings with the iterated yields forecasts.

A.3  Nelson-Siegel Model

We estimate the Nelson-Siegel model with the two-step approach of Diebold and Li (2006) as well as the one-step approach of Diebold, Rudebusch, and Aruoba (2006).

In the two-step approach we fix $\lambda$ to 16.42, which, as shown in Diebold and Li (2006), maximizes the curvature factor loading at a 30-month maturity. Given the value for $\lambda$ we then estimate the vector of latent factors for every individual month by applying OLS to the cross-section of yields (all 18 maturities). From this first step we obtain time-series for the three factors, $\{\beta_{t}\}_{t=1}^{T}$. The second step consists of estimating the dynamics of the factors in (7) by either fitting a single VAR(1) model, or by separate AR(1) models.

In the one-step approach we estimate the unknown parameters and latent factors by means of the Kalman Filter. We maximize the likelihood using the prediction error decomposition of the state space model in (6) and (7). For each sample in the recursive estimation procedure, we first run the two-step approach with a VAR(1) specification for the state vector to obtain starting values. The unconditional mean and covariance matrix of $\{\beta_{t}\}_{t=1}^{T}$ are used to start the Kalman Filter. We discard the first 12 observations when evaluating the likelihood. All variance parameters of the diagonal matrix $H$ and the full matrix $Q$ are initialized to 1. The covariance terms in $Q$ are initialized to 0. In the optimization procedure, we maximize the likelihood by treating the standard deviations as parameters instead of optimizing over the variance parameters directly, to ensure that all variance parameters are positive. We initialize $\lambda$ to 16.42.

We obtain iterated forecasts for the factors as follows:

$$\widehat{f}_{T+h}=\widehat{a}+\widehat{\Gamma}\widehat{f}_{T+h-1}$$ (A-3)

where $\widehat{f}_{T+h}=(\widehat{\beta}_{1,T+h},\widehat{\beta} _{2,T+h},\widehat{\beta}_{3,T+h})^{\prime}$ for the model without macro factors, whereas $\widehat{f}_{T+h}=(\widehat{\beta}_{1,T+h},\widehat{\beta }_{2,T+h},$
$\widehat{\beta}_{3,T+h},\widehat{M}_{T+h}, \widehat{M} _{T+h-1},\widehat{M}_{T+h-2})^{\prime}$ when macro factors are included. The factor forecasts are then inserted in the measurement equation to compute interest rate forecasts:

$$\widehat{y}_{T+h}^{(\tau_{i})} \!=\! \widehat{\beta}_{1,T+h} + \widehat{\beta }_{2,T+h} \left( \frac{1\!-\!\exp(-\tau_{i}/\widehat{\lambda})}{\tau _{i}/\widehat{\lambda}} \right) + \widehat{\beta}_{3,T+h} \left( \frac{1\!-\!\exp(-\tau_{i}/\widehat{\lambda})}{\tau_{i}/\widehat{\lambda}}\! -\! \exp(-\tau_{i}/\widehat{\lambda}) \right)$$ (A-4)

A.4  Affine Model

To estimate the affine model we assume that every yield is contaminated with measurement error. We estimate the parameters in the resulting state space model by applying the two-step approach used in Ang, Piazzesi, and Wei (2006). We make the latent factors $Z_{t}$ observable by extracting the first three principal components from the panel of yields. The first step of the estimation procedure consists of estimating the equation and variance parameters of the state equations in (23). In the second step we estimate the remaining parameters $\{\delta_{0}, \delta_{1}, \lambda_{0}, \lambda_{1}\}$. We first estimate $\{\delta_{0}, \delta_{1}\}$ by applying OLS to the short rate equation (13) where we use the 1-month yield as the observable short rate. We then estimate the risk premia parameters $\{\lambda_{0},\lambda_{1}\}$ by minimizing the sum of squared yields errors, taking as given the parameter estimates from the first step, $\{\widehat{\mu}$, $\widehat{\Psi}, \widehat{\Sigma}\}$ and the short rate parameters $\{\widehat{\delta}_{0}, \widehat{\delta}_{1}\}$. When we optimize over the risk premium parameters in the second step, we initialize all risk premia parameters with zeros. Common approaches for obtaining starting values for the risk premia parameters which tend to first estimate either $\lambda_{0}$ or $\lambda_{1}$ in a separate step, gave unsatisfactory results. So we decided to initialize the optimization procedure assuming that all risk premium parameters are zero. We incorporate macro factors by writing the state equations in companion form. All parameters in the short rate equations and the time-varying risk premia that are associated with lags of the macro factors are set to zero.

Yield forecasts are generated by forward iteration of the state equations:

$$\widehat{f}_{T+h}=\widehat{\mu}+\widehat{\Psi}\widehat{f}_{T+h-1}$$ (A-5)

where $\widehat{f}_{T+h}=\widehat{Z}_{T+h}$ for the yields-only model whereas $\widehat{f}_{T+h}=(\widehat{Z}_{T+h}, \widehat{M}_{T+h-1},\widehat{M} _{T+h-2})$ for the affine model with macro factors.

With the estimated parameters substituted in the recursive bond pricing coefficient equations $a^{(\tau_{i})}$ and $b^{(\tau_{i})}$, we then construct interest rate forecasts as

$$\widehat{y}_{T+h}^{(\tau_{i})} = \widehat{a}^{(\tau_{i})}+\widehat{b} ^{(\tau_{i})}\widehat{f}_{T+h}$$ (A-6)

B  Forecast Evaluation Criteria

In the tables below we report the (Trace) Root Mean Squared Prediction Errors. Given a sample of $R$ out-of-sample forecasts with a $h-$month ahead forecast horizon, we compute the RMSPE for a $\tau_{i}$-month yield for model $m$, with $m=1,\ldots,M$, as follows:

$$_{m}(\tau_{i})=\sqrt{\frac{1}{R}\sum_{t=1}^{R}\left( \widehat{y}_{t+h\vert t,m}^{(\tau_{i})}-y_{t+h}^{(\tau_{i})} \right) ^{2}}$$ (B-1)

where $y_{t+h}^{(\tau_{i})}$ is the yield for a $\tau_{i}$-month maturity observed at time $t+h$, while $\widehat{y}_{t+h\vert t,m}^{(\tau_{i})}$ is its model-$m$ forecast, made at time $t$.

The TRMSPE is an aggregate over all $N$ yield maturities:

$$_{m}=\sqrt{\frac{1}{N}\frac{1}{R}\sum_{i=1}^{N}\sum_{t=1} ^{R}\left( \widehat{y}_{t+h\vert t}^{(\tau_{i})}-y_{t+h}^{(\tau_{i})} \right) ^{2} }\qquad\quad$$ (B-2)

The Cumulative Squared Prediction Error (CSPE) computes the sum of squared prediction errors for a model $m$, relative to those of a benchmark model, here the random walk (RW):

$$_{m,T}(\tau_{i})=\sum_{t=1}^{T}\left[ \left( \widehat{y} _{t+h\vert t,\text{RW}}^{(\tau_{i})}-y_{t+h}^{(\tau_{i})} \right) ^{2} - \left( \widehat{y}_{t+h\vert t,m}^{(\tau_{i})}-y_{t+h}^{(\tau_{i})} \right) ^{2}\right]$$ (B-3)

If a model outperforms the random walk, then CSPE$_{m,T}$ will be an increasing series. If the random walk produces more accurate forecasts, then CSPE$_{m,T}$ will tend to be decreasing. The CSPE is informative at each point in time basically, as it will go up in any given month if the model outperforms its benchmark, whereas it will go down vice versa.

Table 1. Summary Statistics

maturity	mean	stdev	skew	kurt	min	max	JB	ρ1	ρ12	ρ24
1-month	6.049	2.797	0.913	4.336	0.794	16.162	85.671	0.968	0.690	0.402
3-month	6.334	2.896	0.871	4.237	0.876	16.020	76.380	0.974	0.708	0.415
6-month	6.543	2.927	0.788	4.016	0.958	16.481	58.796	0.976	0.723	0.444
1-year	6.755	2.860	0.661	3.763	1.040	15.822	38.907	0.975	0.733	0.474
2-year	7.032	2.724	0.644	3.672	1.299	15.650	35.240	0.978	0.748	0.526
3-year	7.233	2.594	0.685	3.663	1.618	15.765	38.796	0.979	0.763	0.560
4-year	7.392	2.510	0.728	3.607	1.999	15.821	41.640	0.980	0.771	0.582
5-year	7.483	2.449	0.759	3.478	2.351	15.005	42.454	0.982	0.786	0.607
6-year	7.611	2.406	0.791	3.437	2.663	14.979	45.236	0.983	0.797	0.626
7-year	7.659	2.344	0.841	3.488	3.003	14.975	51.562	0.983	0.787	0.623
8-year	7.728	2.320	0.841	3.365	3.221	14.936	49.798	0.984	0.809	0.651
9-year	7.767	2.317	0.877	3.427	3.389	15.018	54.765	0.985	0.813	0.656
10-year	7.745	2.266	0.888	3.496	3.483	14.925	57.117	0.985	0.796	0.647

Notes: The table shows summary statistics for our sample of end-of-month continuously compounded U.S. zero-coupon yields. Reported are the mean, standard deviation, skewness, kurtosis, minimum, maximum, the Jarque-Bera test statistic for normality and the 1st, 12th and 24th sample autocorrelation. The results shown are for annualized yields (in percentage points). The sample period is January 1970 - December 2003 (408 monthly observations).

Table 2a. Macroeconomic Dataset - Real Output and Income

Group (Code)	Transformation Code	Description
1	7	Personal Income (B$, Chain 2000)
1	7	Personal Income Less Transfer Payments (B$, Chain 2000)
1	7	Industrial Production Index - Total Index
1	7	Industrial Production Index - Products, Total
1	7	Industrial Production Index - Final Products
1	7	Industrial Production Index - Consumer Goods
1	7	Industrial Production Index - Durable Consumer Goods
1	7	Industrial Production Index - Nondurable Consumer Goods
1	7	Industrial Production Index - Business Equipment
1	7	Industrial Production Index - Materials
1	7	Industrial Production Index - Durable Goods Materials
1	7	Industrial Production Index - Nondurable Goods Materials
1	7	Industrial Production Index - Manufacturing
1	7	Industrial Production Index - Residential Utilities
1	7	Industrial Production Index - Fuels
1	1	NAPM Production Index (percent)
1	8	Manufacturing Capacity Utilization

Table 2b. Macroeconomic Dataset - Employment and Hours

Group (Code)	Transformation Code	Description
2	1	Index of Help-Wanted Advertising In Newspapers (1967=100, SA)
2	1	Employment Ratio of Help-Wanted Ads to No. of Unemployed in Civilian Labor Force
2	7	Civilian Labor Force: Employed, Total (Thousands, SA)
2	7	Civilian Labor Force: Employed, Nonagricultural Industries (Thousands, SA)
2	1	Unemployment Rate: All Workers, 16 Years & Over (percent,Sa)
2	8	Unemployment by Duration: Average (Mean) Duration In Weeks (SA)
2	7	Unemployment by Duration: Persons Unempl.Less Than 5 Weeks (Thousands, SA)
2	7	Unemployment by Duration: Persons Unemployment 5 To 14 Weeks (Thousands, SA)
2	7	Unemployment by Duration: Persons Unemployment 15 Weeks or more (Thousands, SA)
2	7	Unemployment by Duration: Persons Unemployment 15 To 26 Weeks (Thousands, SA)
2	7	Unemployment by Duration: Persons Unemployment 27 Weeks or more (Thousands, SA)
2	7	Average Weekly Initial Claims, Unemployment Insurance (Thousands)
2	7	Employees on Nonfarm Payrolls: Total Private
2	7	Employees on Nonfarm Payrolls -Goods-Producing
2	7	Employees on Nonfarm Payrolls -Mining
2	7	Employees on Nonfarm Payrolls -Construction
2	7	Employees on Nonfarm Payrolls -Manufacturing
2	7	Employees on Nonfarm Payrolls -Durable Goods
2	7	Employees on Nonfarm Payrolls -Nondurable Goods
2	7	Employees on Nonfarm Payrolls -Service-Providing
2	7	Employees on Nonfarm Payrolls -Trade, Transportation, And Utilities
2	7	Employees on Nonfarm Payrolls -Wholesale Trade
2	7	Employees on Nonfarm Payrolls -Retail Trade
2	7	Employees on Nonfarm Payrolls -Financial Activities
2	7	Employees on Nonfarm Payrolls -Government
2	7	Employee Hours in Nonagricultural Establishments (B. Hours)
2	1	Avg Wkly Hrs of Prod or Nonsup Workers on Priv. Nonfarm Payrolls: Goods-Producing
2	8	Avg Wkly Hrs of Prod or Nonsup Workers on Priv. Nonfarm Payrolls: Manufacturing Overtime Hours
2	1	Average Weekly Hours, Manufacturing (hours)
2	1	NAPM Employment Index (percent)

Table 2c. Macroeconomic Dataset - Real Retail

Group (Code)	Transformation Code	Description
3	7	Sales of Retail Stores (M$, chain 2000)

Table 2d. Macroeconomic Dataset - Manufacturing and Trade Sales

Group (Code)	Transformation Code	Description
4	7	Manufacturing and Trade Sales (M$, chain 1996)

Table 2e. Macroeconomic Dataset - Consumption

Group (Code)	Transformation Code	Description
5	7	Real Consumption: a0m224/gmdc (a0m224 is from TCB)

Table 2f. Macroeconomic Dataset - Housing Starts and Sales

Group (Code)	Transformation Code	Description
6	4	Housing Starts: Nonfarm (1947-58); Total Farm & Nonfarm (1959-) (Thousands of Units, SAAR)
6	4	Housing Starts: Northeast (Thousands of Units, SA)
6	4	Housing Starts: Midwest (Thousands of Units, SA)
6	4	Housing Starts: South (Thousands of Units, SA)
6	4	Housing Starts: West (Thousands of Units, SA)
6	4	Housing Authorized: Total New Private Housing Units (Thousands of Units, SAAR)
6	4	Houses Authorized by Building Permits: Northeast (Thousands of Units, SA)
6	4	Houses Authorized by Building Permits: Midwest (Thousands of Units, SA)
6	4	Houses Authorized by Building Permits: South (Thousands of Units, SA)
6	4	Houses Authorized by Building Permits: West (Thousands of Units, SA)

Table 2g. Macroeconomic Dataset - Inventories

Group (Code)	Transformation Code	Description
7	1	NAPM Inventories Index (percent)
7	7	Manufacturing and Trade Inventories (B$, Chain 2000)
7	8	Ratio of Manufacturying and Trade Inventories to Sales ($, Chain 2000)

Table 2h. Macroeconomic Dataset - Orders

Group (Code)	Transformation Code	Description
8	1	Purchasing Managers' Index (SA)
8	1	NAPM New Orders Index (percent)
8	1	NAPM Vendor Deliveries Index (percent)
8	7	Manufacturers' New Orders, Consumer Goods And Materials (B$, Chain 1982)
8	7	Manufacturers' New Orders, Durable Goods Industries (B$, Chain 2000)
8	7	Manufacturers' New Orders, Nondefense Capital Goods (M$, Chain 1982)
8	7	Manufacturers' Unfilled Orders, Durable Goods Industries (B$, Chain 2000)

Table 2i. Macroeconomic Dataset - Equities

Group (Code)	Transformation Code	Description
9	7	S&P's Common Stock Price Index: Composite (1941-43=10)
9	7	S&P's Common Stock Price Index: Industrials (1941-43=10)
9	8	S&P's Composite Common Stock: Dividend Yield (percent p.a.)
9	7	S&P's Composite Common Stock: Price-Earnings Ratio (percent, NSA)

Table 2j. Macroeconomic Dataset - Exchange Rates

Group (Code)	Transformation Code	Description
10	7	United States: Effective Exchange Rate (MERM model)(index number)
10	7	Foreign Exchange Rate: Switzerland (Swiss Franc per US$)
10	7	Foreign Exchange Rate: Japan (Yen per US$)
10	7	Foreign Exchange Rate: United Kingdom (US$ per Sterling)
10	7	Foreign Exchange Rate: Canada (Canadian Dollar per US$)

Table 2k. Macroeconomic Dataset - Interest Rates

Group (Code)	Transformation Code	Description
11	1	Interest Rate: Effective Federal Funds (percent p.a., NSA)

Table 2l. Macroeconomic Dataset - Money and Credit Quantity Aggregates

Group (Code)	Transformation Code	Description
12	7	Money Stock: M1 (B$, SA)
12	7	Money Stock: M2 (B$, SA)
12	7	Money Stock: M3 (B$, SA)
12	7	Money Supply - M2 In 1996 Dollars
12	7	Monetary Base, Adj For Reserve Requirement Changes (M$, SA)
12	7	Depository Inst Reserves:Total, Adj For Reserve Req Chgs (M$, SA)
12	7	Depository Inst Reserves:Nonborrowed,Adj Res Req Chgs (M$, SA)
12	7	Commercial & Industrial Loans Oustanding In 1996 Dollars
12	1	Weekly Report of Commercial Bank Lending: Net Change Commercial & Industrial Loans (B$, SAAR)
12	7	Consumer Credit Outstanding - Nonrevolving
12	8	Ratio of Consumer Installment Credit To Personal Income (percent)

Table 2m. Macroeconomic Dataset - Price Indexes

Group (Code)	Transformation Code	Description
13	7	PPI: Finished Goods (1982=100, SA)
13	7	PPI: Finished Consumer Goods (1982=100, SA)
13	7	PPI: Intermediate Materials, Supplies & Components (1982=100, SA)
13	7	PPI: Crude Materials (1982=100, SA)
13	7	Spot market price index: BLS & CRB: all commodities (1967=100)
13	7	Index of Sensitive Materials Prices (1990=100)
13	1	NAPM Commodity Prices Index (percent)
13	7	CPI-U: All Items (1982-84=100, SA)
13	7	CPI-U: Apparel & Upkeep (1982-84=100, SA)
13	7	CPI-U: Transportation (1982-84=100, SA)
13	7	CPI-U: Medical Care (1982-84=100, SA)
13	7	CPI-U: Commodities (1982-84=100, SA)
13	7	CPI-U: Durables (1982-84=100, SA)
13	7	CPI-U: Services (1982-84=100, SA)
13	7	CPI-U: All Items Less Food (1982-84=100, SA)
13	7	CPI-U: All Items Less Shelter (1982-84=100, SA)
13	7	CPI-U: All Items Less Midical Care (1982-84=100, SA)
13	7	PCE, Implicit Price Deflator: PCE (1987=100)
13	7	PCE, Implicit Price Deflator: PCE; Durables (1987=100)
13	7	PCE, Implicit Price Deflator: PCE; Nondurables (1996=100)
13	7	PCE, Implicit Price Deflator: PCE; Services (1987=100)

Table 2n. Macroeconomic Dataset - Average Hourly Earnings

Group (Code)	Transformation Code	Description
14	7	Avg Hourly Earnings of Prod or Nonsup Workers On Priv. Nonfarm Payrolls - Goods-Producing
14	7	Avg Hourly Earnings of Prod or Nonsup Workers On Priv. Nonfarm Payrolls - Construction
14	7	Avg Hourly Earnings of Prod or Nonsup Workers On Priv. Nonfarm Payrolls - Manufacturing

Table 2o. Macroeconomic Dataset - Miscellaneous

Group (Code)	Transformation Code	Description
15	8	University of Michigan Index of Consumer Expectations

Notes: The table lists the individual macro series that we use to construct macro factors. The series are categorized in 15 groups: (1) real output and income, (2) employment and hours, (3) real retail, (4) manufacturing and trade sales, (5) consumption, (6) housing starts and sales, (7) inventories, (8) orders, (9) stock prices, (10) exchange rates, (11) federal funds rate, (12) money and credit quantity aggregates, (13) prices indices, (14) average hourly earnings and (15) miscellaneous. The transformations applied to original series are coded as: 1 ≡ no transformation (levels are used), 4 ≡ logarithm of the level, 7 ≡ annual first differences of the log levels and 8 ≡ annual first differences of the levels. The sample period is January 1970 - December 2003 (408 observations). Series are from the Global Insights Basic Economics Database and The Conference Board�s Indicators Database. "[N]SA" stands from (Non-)Seasonally Adjusted whereas "SAAR" stands for Seasonally Adjusted Annual Rate.

Table 3a. [T] RMSPE 1994:1 - 2003:12, 1-Month Forecast Horizon - Models

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	101.59	30.12 [0.00]	21.18** [0.93]	21.82 [0.11]	25.71** [0.84]	29.12* [0.93]	30.48** [1.00]	29.30** [1.00]	27.95** [1.00]

Table 3b. [T] RMSPE 1994:1 - 2003:12, 1-Month Forecast Horizon - Panel A: Models Without Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	1.02	1.04 [0.00]	1.07* [0.77]	1.06 [0.00]	1.05* [0.30]	1.03 [0.43]	1.01** [0.69]	1.01** [0.79]	1.01** [0.48]
VAR	1.06	0.83** [1.00]	1.03* [0.19]	1.23 [0.00]	1.14 [0.00]	1.13 [0.00]	1.04** [0.04]	1.05 [0.03]	1.11 [0.25]
NS2-AR	1.10	0.94 [0.00]	1.13* [0.00]	1.27 [0.00]	1.24 [0.00]	1.19 [0.00]	1.11* [0.00]	1.06 [0.00]	1.07** [0.03]
NS2-VAR	1.04	0.94 [0.00]	0.96** [0.90]	1.10 [0.00]	1.10 [0.00]	1.11 [0.00]	1.06** [0.00]	1.03* [0.48]	1.06* [0.02]
NS1	1.06	1.16 [0.00]	1.09 [0.07]	1.08 [0.00]	1.05** [0.13]	1.10 [0.00]	1.07** [0.15]	1.04 [0.80]	1.06* [0.35]
ATSM	1.07	0.84** [0.99]	0.93** [0.84]	1.15 [0.00]	1.23 [0.00]	1.18 [0.00]	1.04** [0.69]	1.08 [0.00]	1.07* [0.38]

Table 3c. [T] RMSPE 1994:1 - 2003:12, 1-Month Forecast Horizon - Panel B: Models With Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
AR-X	0.99	0.98 [0.00]	0.95** [1.00]	0.96** [1.00]	0.98** [1.00]	0.98** [1.00]	0.99** [1.00]	1.00** [1.00]	0.99** [1.00]
VAR-X	1.02	0.83** [1.00]	0.99** [0.85]	1.03 [0.00]	1.01** [0.68]	1.12 [0.00]	1.02** [0.56]	1.02** [0.79]	1.03** [0.08]
NS2-AR-X	1.09	0.90 [0.08]	1.22 [0.00]	1.31 [0.00]	1.28 [0.00]	1.17 [0.00]	1.05** [0.46]	1.06 [0.34]	1.06** [0.03]
NS2-VAR-X	1.05	0.83** [1.00]	1.05** [0.72]	1.17 [0.00]	1.20 [0.00]	1.13 [0.00]	1.03** [0.51]	1.05 [0.39]	1.05** [0.03]
NS1-X	1.05	0.98 [0.00]	1.01** [0.86]	1.04 [0.00]	1.08 [0.00]	1.10 [0.00]	1.04** [0.34]	1.05 [0.58]	1.06** [0.03]
ATSM-X	1.13	0.85** [1.00]	1.13* [0.87]	1.18 [0.00]	1.29 [0.00]	1.42 [0.00]	1.04** [0.19]	0.99** [0.06]	1.06** [0.00]

Table 3d. [T] RMSPE 1994:1 - 2003:12, 1-Month Forecast Horizon - Panel C: Forecast Combinations

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
FC-EW	1.02	0.91	0.98	1.08	1.08	1.09	1.02	1.02	1.03
FC-MSPE	1.02	0.89	0.98	1.07	1.06	1.08	1.02	1.02	1.03
FC-EW-X	1.01	0.85	0.97	1.03	1.06	1.09	1.00	1.01	1.01
FC-MSPE-X	1.00	0.85	0.96	1.01	1.04	1.07	1.00	1.01	1.01
FC-EW-ALL	1.00	0.86	0.94	1.02	1.05	1.08	1.01	1.01	1.02
FC-MSPE-ALL	1.00	0.85	0.94	1.01	1.04	1.07	1.01	1.01	1.02
FC-MCS-EW	0.99	0.82	0.94	0.97	0.98	0.99	1.01	1.01	1.01
FC-MCS-MSPE	0.99	0.82	0.94	0.97	0.98	0.99	1.01	1.01	1.01

Notes: The table reports the [Trace] Root Mean Squared Prediction Error ([T]RMPSE) for individual yield models, without and with macro factors in Panels A and B, respectively. Panel C shows results for different forecast combination methods. All results are for a 1-month forecast horizon for the out-of-sample period 1994:1 - 2003:12 (R = 120 forecasts). The first line in the table reports the value of [T]RMSPE (expressed in basis points) for the Random Walk model (RW), while all other lines reports statistics relative to the RW. Numbers smaller than one (shown in bold) indicate that models outperform the random walk, whereas numbers larger than one indicate underperformance. Two stars indicate that a model belongs to the model set $$\widehat{M}_{0.25}^{\ast}$$ whereas models with one star belong to $$\widehat{M}_{0.10}^{\ast}$$. The following model abbreviations are used in the table: RW stands for the Random Walk, (V)AR for the first-order (Vector) Autoregressive Model, NS2-(V)AR for the two-step Nelson-Siegel model with a (V)AR specification for the factors, NS1 for the one-step Nelson-Siegel model, ATSM for the affine model. The affix �X� indicates that macro factors have been incorporated in a model as additional explanatory variables. FC-EW and FC-MSPE stand for forecast combinations based on equal weights and MSPE-based weights, respectively, and FC-MCS for forecasting combinations using the pre-filtered model set $$\widehat{M}_{0.25}^{\ast}$$. For the forecast combinations �-X� indicates that forecasts are combined only from models with macro factors whereas �-ALL� indicates that forecasts from all models, both macro as well as yield-only, are combined. No affix in the first two rows of Panel C means that yields-only models are combined. The numbers between parentheses in Panels A and B include the fraction of times a model is included in $$\widehat{M}_{0.25}^{\ast}$$ for the expanding forecast sample 1994:1 - 2003:12 in the FC-MCS-EW and FC-MCS-MSPE schemes. The $$\widehat{M}_{0.25}^{\ast}$$ for these forecast combination schemes are determined using an expanding window, with the initial window being 1989:1 - 1993:12.

Table 4a. [T] RMSPE 1994:1 - 2003:12, 3-Month Forecast Horizon - Models

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	195.81	53.61 [0.00]	48.24** [0.56]	50.71* [0.05]	55.36* [0.14]	59.86* [0.70]	57.25** [1.00]	53.47** [1.00]	49.72** [1.00]

Table 4b. [T] RMSPE 1994:1 - 2003:12, 3-Month Forecast Horizon - Panel A: Models Without Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	1.05	1.11 [0.00]	1.10* [0.00]	1.09* [0.00]	1.08* [0.06]	1.04* [0.61]	1.02** [0.88]	1.03** [0.86]	1.03** [0.98]
VAR	1.10	0.90** [0.41]	1.08* [0.00]	1.21 [0.00]	1.20 [0.00]	1.16 [0.02]	1.09** [0.10]	1.08* [0.44]	1.13** [0.80]
NS2-AR	1.13	1.02* [0.00]	1.16* [0.00]	1.24* [0.00]	1.26 [0.00]	1.23 [0.00]	1.13** [0.03]	1.07** [0.34]	1.06** [0.75]
NS2-VAR	1.05	0.94* [0.11]	0.99** [0.37]	1.08* [0.00]	1.11 [0.00]	1.11* [0.00]	1.06** [0.01]	1.03** [0.64]	1.05** [0.81]
NS1	1.06	1.09 [0.00]	1.09 [0.00]	1.11* [0.00]	1.10* [0.00]	1.10* [0.20]	1.06** [0.56]	1.02** [0.81]	1.03** [0.96]
ATSM	1.06	0.85** [0.68]	0.96** [0.42]	1.11* [0.00]	1.18 [0.00]	1.14 [0.00]	1.02** [0.84]	1.07** [0.00]	1.06** [0.91]

Table 4c. [T] RMSPE 1994:1 - 2003:12, 3-Month Forecast Horizon - Panel B: Models With Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
AR-X	0.98	0.98 [0.69]	0.95** [1.00]	0.96** [1.00]	0.98** [1.00]	0.98** [1.00]	0.99** [1.00]	0.99** [1.00]	0.99** [1.00]
VAR-X	0.99	0.87** [0.77]	0.98** [0.62]	1.00* [0.00]	1.00* [0.14]	1.03* [0.70]	0.99** [1.00]	0.99** [1.00]	1.00** [1.00]
NS2-AR-X	1.13	1.03 [0.00]	1.24 [0.00]	1.27 [0.00]	1.28 [0.00]	1.20 [0.00]	1.08** [0.57]	1.07** [0.55]	1.04** [0.80]
NS2-VAR-X	1.07	0.85** [0.37]	1.04* [0.00]	1.13* [0.00]	1.19 [0.00]	1.16 [0.00]	1.05** [0.42]	1.05** [0.76]	1.03** [0.92]
NS1-X	1.03	0.84** [0.56]	0.96** [0.62]	1.04* [0.00]	1.10 [0.00]	1.10 [0.02]	1.04** [0.71]	1.03** [0.85]	1.03** [1.00]
ATSM-X	1.04	0.80** [1.00]	0.94** [0.74]	1.04* [0.00]	1.14 [0.00]	1.20 [0.04]	1.03** [0.73]	1.00** [0.86]	1.01** [0.86]

Table 4d. [T] RMSPE 1994:1 - 2003:12, 3-Month Forecast Horizon - Panel C: Forecast Combinations

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
FC-EW	1.04	0.94	1.02	1.09	1.10	1.09	1.03	1.02	1.03
FC-MSPE	1.04	0.94	1.02	1.09	1.10	1.09	1.04	1.03	1.04
FC-EW-X	1.00	0.87	0.96	1.01	1.05	1.06	1.00	1.00	0.99
FC-MSPE-X	1.00	0.87	0.95	1.01	1.04	1.05	1.01	1.00	1.00
FC-EW-ALL	1.00	0.86	0.93	1.01	1.05	1.06	1.01	1.00	1.00
FC-MSPE-ALL	1.00	0.86	0.94	1.01	1.05	1.06	1.01	1.01	1.01
FC-MCS-EW	1.00	0.83	0.96	0.97	1.00	1.02	1.01	1.02	1.02
FC-MCS-MSPE	1.00	0.83	0.96	0.97	1.00	1.01	1.01	1.02	1.02

Notes: The table reports forecast results for a 3-month horizon for the out-of-sample period 1994:1 - 2003:12. See Table 3 for further details.

Table 5a. [T] RMSPE 1994:1 - 2003:12, 6-Month Forecast Horizon - Models

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	300.94	83.60* [0.00]	82.31** [0.34]	85.20** [0.24]	89.24** [0.04]	92.74** [0.90]	86.36** [0.97]	79.23** [0.98]	72.50** [1.00]

Table 5b. [T] RMSPE 1994:1 - 2003:12, 6-Month Forecast Horizon - Panel A: Models Without Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	1.07	1.15 [0.00]	1.12** [0.00]	1.10** [0.09]	1.10** [0.02]	1.06** [0.67]	1.03** [0.92]	1.04** [0.86]	1.04** [0.90]
VAR	1.20	1.11* [0.00]	1.22* [0.00]	1.31* [0.00]	1.31* [0.00]	1.24* [0.00]	1.14** [0.41]	1.15** [0.49]	1.21** [0.73]
NS2-AR	1.12	1.05** [0.00]	1.12** [0.00]	1.18** [0.00]	1.22* [0.00]	1.20* [0.00]	1.11** [0.40]	1.06** [0.47]	1.06** [0.76]
NS2-VAR	1.05	1.02* [0.00]	1.03** [0.12]	1.09** [0.09]	1.11* [0.00]	1.10** [0.04]	1.04** [0.55]	1.02** [0.93]	1.06** [0.90]
NS1	1.06	1.16 [0.00]	1.12** [0.00]	1.13** [0.00]	1.11* [0.00]	1.08** [0.15]	1.02** [0.70]	1.00** [0.85]	1.03** [0.80]
ATSM	1.06	0.95** [0.47]	1.02** [0.21]	1.12** [0.01]	1.17* [0.00]	1.12* [0.01]	1.01** [0.96]	1.07** [0.39]	1.07** [0.97]

Table 5c. [T] RMSPE 1994:1 - 2003:12, 6-Month Forecast Horizon - Panel B: Models With Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
AR-X	1.00	0.97** [1.00]	0.96** [1.00]	0.97** [1.00]	0.99** [1.00]	1.00** [1.00]	1.01** [1.00]	1.00** [1.00]	1.01** [1.00]
VAR-X	0.98	0.93** [0.90]	0.98** [0.51]	1.00** [0.22]	1.01** [0.45]	1.00** [0.90]	0.97** [0.97]	0.97** [0.98]	0.99** [1.00]
NS2-AR-X	1.13	1.10* [0.00]	1.22* [0.00]	1.24* [0.00]	1.26* [0.00]	1.18* [0.07]	1.06** [0.70]	1.05** [0.71]	1.04** [0.84]
NS2-VAR-X	1.07	0.94** [0.49]	1.07** [0.23]	1.14** [0.24]	1.19* [0.00]	1.15* [0.07]	1.04** [0.84]	1.03** [0.95]	1.03** [0.96]
NS1-X	1.02	0.87** [0.88]	0.96** [0.50]	1.03** [0.21]	1.09* [0.00]	1.08** [0.19]	1.01** [0.86]	1.00** [0.90]	1.01** [0.93]
ATSM-X	1.02	0.84** [1.00]	0.95** [0.61]	1.04** [0.24]	1.11* [0.00]	1.12** [0.32]	0.99** [0.97]	0.98** [0.85]	1.01** [0.88]

Table 5d. [T] RMSPE 1994:1 - 2003:12, 6-Month Forecast Horizon - Panel C: Forecast Combinations

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
FC-EW	1.05	1.02	1.05	1.10	1.11	1.08	1.02	1.02	1.04
FC-MSPE	1.05	1.03	1.07	1.10	1.11	1.08	1.02	1.01	1.03
FC-EW-X	0.99	0.90	0.96	1.01	1.04	1.04	0.99	0.98	0.99
FC-MSPE-X	0.97	0.90	0.96	0.99	1.01	1.01	0.96	0.95	0.95
FC-EW-ALL	0.99	0.90	0.95	1.00	1.04	1.03	0.98	0.98	0.99
FC-MSPE-ALL	0.98	0.91	0.96	1.01	1.04	1.02	0.97	0.96	0.97
FC-MCS-EW	0.98	0.92	0.98	0.99	0.98	1.00	0.99	0.99	0.99
FC-MCS-MSPE	0.98	0.91	0.98	0.99	0.98	1.00	0.99	0.99	0.99

Notes: The table reports forecast results for a 6-month horizon for the out-of-sample period 1994:1 - 2003:12. See Table 3 for further details.

Table 6a. [T] RMSPE 1994:1 - 2003:12, 12-Month Forecast Horizon - Models

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	452.51	136.94** [0.12]	140.61** [0.79]	145.03** [0.94]	146.89** [0.69]	141.77** [0.96]	121.21** [0.95]	108.58** [0.95]	98.96** [0.85]

Table 6b. [T] RMSPE 1994:1 - 2003:12, 12-Month Forecast Horizon - Panel A: Models Without Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
RW	1.10	1.15** [0.01]	1.11** [0.48]	1.09** [0.71]	1.10** [0.48]	1.09** [0.85]	1.07** [0.89]	1.09** [0.48]	1.10** [0.46]
VAR	1.43	1.36 [0.00]	1.41* [0.00]	1.44* [0.01]	1.42* [0.02]	1.40* [0.21]	1.41* [0.28]	1.46 [0.23]	1.55 [0.18]
NS2-AR	1.10	1.02** [0.00]	1.04** [0.35]	1.06** [0.45]	1.10** [0.29]	1.14** [0.36]	1.13** [0.57]	1.12** [0.47]	1.13** [0.68]
NS2-VAR	1.08	1.09** [0.03]	1.07** [0.65]	1.08** [0.70]	1.08** [0.59]	1.09** [0.64]	1.07** [0.77]	1.07** [0.93]	1.12** [0.81]
NS1	1.09	1.21* [0.00]	1.15** [0.00]	1.13** [0.15]	1.10** [0.28]	1.09** [0.48]	1.05** [0.77]	1.04** [0.91]	1.08** [0.81]
ATSM	1.10	1.06** [0.15]	1.07** [0.72]	1.11** [0.35]	1.14** [0.22]	1.12** [0.50]	1.04** [0.93]	1.12** [0.63]	1.13** [0.95]

Table 6c. [T] RMSPE 1994:1 - 2003:12, 12-Month Forecast Horizon - Panel B: Models With Macro Factors

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
AR-X	1.02	0.95** [1.00]	0.95* [1.00]	0.98** [1.00]	1.00** [1.00]	1.03** [1.00]	1.06** [1.00]	1.05** [1.00]	1.06** [0.92]
VAR-X	0.98	0.97** [0.67]	0.97** [0.92]	0.98** [0.95]	0.99** [0.96]	0.99** [0.96]	0.96** [0.94]	0.97** [0.95]	0.99** [0.95]
NS2-AR-X	1.14	1.15** [0.19]	1.19** [0.50]	1.18** [0.55]	1.19** [0.46]	1.16** [0.46]	1.09** [0.86]	1.09** [0.72]	1.08** [0.76]
NS2-VAR-X	1.11	1.07** [0.60]	1.13** [0.80]	1.14** [0.79]	1.17** [0.58]	1.15** [0.63]	1.07** [0.94]	1.06** [0.95]	1.05** [0.85]
NS1-X	1.01	0.91** [0.60]	0.96** [0.80]	1.00** [0.76]	1.05** [0.52]	1.06** [0.73]	1.01** [0.90]	1.00** [0.93]	1.01** [0.83]
ATSM-X	1.02	0.93** [0.82]	0.99** [0.88]	1.04** [0.74]	1.07** [0.53]	1.08** [0.81]	0.99** [0.94]	1.00** [0.94]	1.02** [0.86]

Table 6d. [T] RMSPE 1994:1 - 2003:12, 12-Month Forecast Horizon - Panel C: Forecast Combinations

Models	[T]RMSPE	1m	3m	6m	1y	2y	5y	7y	10y
FC-EW	1.08	1.08	1.08	1.09	1.10	1.09	1.07	1.08	1.11
FC-MSPE	1.09	1.11	1.10	1.11	1.11	1.10	1.07	1.08	1.10
FC-EW-X	1.00	0.94	0.97	0.99	1.02	1.03	1.00	1.00	1.00
FC-MSPE-X	0.95	0.95	0.97	0.97	0.98	0.97	0.94	0.94	0.92
FC-EW-ALL	0.99	0.93	0.95	0.97	1.00	1.01	0.99	1.00	1.01
FC-MSPE-ALL	0.98	0.96	0.98	0.99	1.00	1.00	0.97	0.97	0.97
FC-MCS-EW	1.00	0.99	1.02	1.03	1.03	1.02	0.97	0.99	0.99
FC-MCS-MSPE	1.00	0.99	1.02	1.03	1.02	1.01	0.97	0.98	0.99

Notes: The table reports forecast results for a 12-month horizon for the out-of-sample period 1994:1 - 2003:12. See Table 3 for further details.

Figure 1a. U.S. Zero-Coupon Yields: Full Sample 1970:1 - 2003:12

Data for Figure 1a

Month	3m Yield	1y Yield	2y Yield	5y Yield	10y Yield
Jan-70	8.019	8.010	7.989	8.067	7.515
Feb-70	6.983	6.922	7.024	7.145	7.020
Mar-70	6.495	6.611	6.911	7.052	7.163
Apr-70	7.052	7.492	7.581	7.742	7.812
May-70	7.079	7.441	7.745	7.606	7.628
Jun-70	6.585	7.192	7.453	7.543	7.746
Jul-70	6.466	6.811	7.186	7.373	7.466
Aug-70	6.396	6.800	7.012	7.255	7.512
Sep-70	5.923	6.594	6.555	7.050	7.266
Oct-70	5.938	6.324	6.511	6.877	7.096
Nov-70	5.090	5.099	5.313	5.906	6.308
Dec-70	4.915	4.886	5.403	5.922	6.142
Jan-71	4.194	4.310	4.643	5.655	6.068
Feb-71	3.437	3.772	4.278	5.304	5.786
Mar-71	3.629	3.758	4.147	4.977	5.313
Apr-71	3.961	4.552	5.216	5.973	6.055
May-71	4.378	4.886	5.406	6.206	6.243
Jun-71	5.271	6.057	6.267	6.783	6.792
Jul-71	5.369	6.109	6.315	6.891	6.889
Aug-71	4.477	5.270	5.447	6.024	6.279
Sep-71	4.653	5.271	5.399	5.965	5.902
Oct-71	4.352	4.589	4.956	5.660	5.800
Nov-71	4.377	4.743	5.059	5.722	6.182
Dec-71	3.714	4.181	4.828	5.426	5.869
Jan-72	3.382	4.120	4.804	5.718	6.088
Feb-72	3.470	4.291	4.769	5.665	6.283
Mar-72	3.874	4.937	5.528	5.999	6.269
Apr-72	3.648	4.527	5.109	5.798	6.240
May-72	3.835	4.631	4.947	5.715	6.249
Jun-72	4.101	5.254	5.438	5.909	6.301
Jul-72	3.857	4.950	5.248	5.891	6.329
Aug-72	4.607	5.486	5.635	6.083	6.410
Sep-72	4.641	5.687	5.791	6.055	6.497
Oct-72	4.820	5.541	5.758	6.094	6.417
Nov-72	4.951	5.396	5.644	6.009	6.333
Dec-72	5.218	5.634	5.915	6.170	6.400
Jan-73	5.770	6.148	6.213	6.303	6.451
Feb-73	5.943	6.409	6.522	6.594	6.551
Mar-73	6.507	6.995	6.804	6.651	6.581
Apr-73	6.385	6.705	6.636	6.573	6.551
May-73	7.052	6.949	6.734	6.599	6.825
Jun-73	7.629	7.782	6.966	6.720	6.795
Jul-73	8.462	8.632	7.966	7.644	7.199
Aug-73	8.824	8.370	7.713	7.054	7.032
Sep-73	7.110	7.685	6.956	6.544	6.719
Oct-73	7.484	7.126	6.726	6.636	6.578
Nov-73	7.475	7.417	6.699	6.612	6.577
Dec-73	7.596	7.129	6.693	6.686	6.738
Jan-74	7.631	6.890	6.674	6.746	6.895
Feb-74	7.600	7.025	6.818	6.810	6.744
Mar-74	8.481	8.128	7.690	7.419	7.202
Apr-74	9.080	8.676	8.154	7.942	7.705
May-74	8.241	8.472	7.978	7.734	7.684
Jun-74	7.749	8.617	8.266	8.080	7.313
Jul-74	7.811	8.663	8.372	8.192	7.598
Aug-74	9.112	9.674	8.659	8.381	7.830
Sep-74	6.360	7.897	8.037	7.844	7.593
Oct-74	7.951	7.647	7.708	7.779	7.383
Nov-74	7.608	7.508	7.197	7.393	7.279
Dec-74	7.153	6.880	7.173	7.097	6.896
Jan-75	5.767	6.091	6.644	7.162	6.938
Feb-75	5.485	5.868	6.117	6.940	6.892
Mar-75	5.652	6.190	6.689	7.297	7.595
Apr-75	5.573	6.665	7.387	7.855	7.836
May-75	5.273	5.996	6.774	7.415	7.790
Jun-75	6.028	6.703	7.066	7.595	7.285
Jul-75	6.351	7.173	7.542	7.837	7.313
Aug-75	6.474	7.325	7.622	7.980	7.923
Sep-75	6.642	7.545	8.007	8.115	7.954
Oct-75	5.599	6.161	6.913	7.544	7.865
Nov-75	5.639	6.439	7.138	7.710	7.786
Dec-75	5.285	5.977	6.619	7.357	7.772
Jan-76	4.802	5.516	6.255	7.384	7.771
Feb-76	5.093	5.995	6.668	7.336	7.752
Mar-76	5.047	5.997	6.620	7.294	7.164
Apr-76	4.995	5.928	6.569	7.269	7.293
May-76	5.595	6.586	7.151	7.623	7.897
Jun-76	5.461	6.346	6.921	7.467	7.812
Jul-76	5.273	6.023	6.657	7.271	7.574
Aug-76	5.171	5.826	6.482	7.167	7.630
Sep-76	5.157	5.726	6.227	6.912	7.547
Oct-76	4.984	5.420	5.918	6.731	7.448
Nov-76	4.499	4.918	5.329	6.056	7.163
Dec-76	4.413	4.771	5.305	6.091	6.892
Jan-77	4.827	5.591	6.030	6.756	7.401
Feb-77	4.789	5.462	5.992	6.884	7.377
Mar-77	4.612	5.322	5.920	6.846	7.340
Apr-77	4.766	5.462	6.001	6.834	7.466
May-77	5.104	5.649	6.085	6.805	6.984
Jun-77	5.074	5.613	5.976	6.620	6.880
Jul-77	5.499	6.114	6.371	6.911	7.375
Aug-77	5.666	6.241	6.485	6.845	7.274
Sep-77	6.022	6.479	6.701	6.998	7.354
Oct-77	6.206	6.787	7.024	7.279	7.467
Nov-77	6.190	6.630	6.988	7.204	7.470
Dec-77	6.254	6.840	7.090	7.453	7.705
Jan-78	6.551	7.075	7.331	7.594	7.845
Feb-78	6.535	7.138	7.424	7.730	7.932
Mar-78	6.616	7.321	7.553	7.812	8.037
Apr-78	6.382	7.341	7.713	7.910	8.107
May-78	6.780	7.768	7.942	8.127	8.300
Jun-78	7.183	8.197	8.293	8.317	8.477
Jul-78	6.971	8.056	8.281	8.251	8.414
Aug-78	7.703	8.259	8.268	8.193	8.198
Sep-78	8.184	8.552	8.446	8.281	8.374
Oct-78	8.896	9.511	9.237	8.725	8.684
Nov-78	9.226	9.750	9.292	8.539	8.633
Dec-78	9.500	10.163	9.641	9.020	8.867
Jan-79	9.521	9.788	9.375	8.706	8.694
Feb-79	9.684	9.914	9.613	9.041	8.856
Mar-79	9.678	9.607	9.441	8.921	8.813
Apr-79	9.761	9.989	9.634	9.061	9.006
May-79	9.819	9.627	9.289	8.685	8.850
Jun-79	9.167	9.132	8.673	8.348	8.624
Jul-79	9.389	9.429	9.053	8.591	8.773
Aug-79	10.061	10.055	9.548	8.857	8.915
Sep-79	10.395	10.575	9.780	9.094	9.128
Oct-79	12.449	12.431	11.646	10.622	10.307
Nov-79	11.640	11.178	10.962	9.973	10.056
Dec-79	12.314	11.177	10.846	9.963	10.011
Jan-80	12.343	11.979	11.365	10.598	10.754
Feb-80	14.400	14.833	14.155	12.191	11.558
Mar-80	15.416	15.145	13.985	12.245	11.911
Apr-80	10.638	10.382	10.521	10.179	10.553
May-80	7.921	8.522	8.769	9.591	10.256
Jun-80	8.067	8.220	8.748	9.402	10.000
Jul-80	8.811	8.910	9.480	10.083	10.665
Aug-80	10.193	11.001	10.985	11.286	11.246
Sep-80	11.614	11.759	11.713	11.510	11.516
Oct-80	13.081	12.953	12.634	12.259	11.993
Nov-80	14.667	14.148	13.151	12.579	12.287
Dec-80	14.724	13.387	12.383	11.881	11.631
Jan-81	15.036	13.490	12.683	12.267	11.978
Feb-81	14.657	14.034	13.183	13.021	12.647
Mar-81	12.809	12.612	12.629	12.863	12.404
Apr-81	15.325	14.521	14.295	13.746	13.193
May-81	15.548	14.420	13.763	13.119	12.837
Jun-81	14.683	13.915	13.997	13.237	13.189
Jul-81	15.350	15.349	15.149	14.021	14.039
Aug-81	16.020	15.822	15.650	14.769	14.702
Sep-81	14.898	15.444	15.603	15.005	14.925
Oct-81	13.113	13.805	14.021	14.277	14.016
Nov-81	10.602	11.460	11.578	12.623	12.678
Dec-81	11.360	12.908	13.211	13.447	13.582
Jan-82	12.835	13.563	13.686	13.620	13.584
Feb-82	12.744	13.754	13.834	13.456	13.660
Mar-82	13.576	13.666	13.832	13.553	13.441
Apr-82	12.640	13.370	13.483	13.138	13.416
May-82	11.812	12.669	13.039	13.167	13.263
Jun-82	13.110	13.972	14.074	14.032	13.714
Jul-82	10.456	12.288	12.726	13.197	13.098
Aug-82	8.546	11.239	11.633	12.396	12.248
Sep-82	7.786	10.210	10.965	11.419	10.975
Oct-82	8.070	9.350	9.911	10.356	10.662
Nov-82	8.439	9.141	9.717	10.463	10.124
Dec-82	8.091	8.508	9.277	10.274	9.833
Jan-83	8.271	8.718	9.364	10.476	10.385
Feb-83	8.107	8.456	9.146	10.048	9.889
Mar-83	8.842	9.126	9.677	10.397	10.175
Apr-83	8.260	8.606	9.115	10.029	9.835
May-83	8.855	9.234	9.795	10.562	10.517
Jun-83	8.988	9.405	10.044	10.756	10.610
Jul-83	9.461	10.200	10.686	11.529	11.478
Aug-83	9.483	10.298	10.851	11.748	11.512
Sep-83	8.910	9.660	10.279	11.283	10.994
Oct-83	8.695	9.512	10.330	11.237	11.384
Nov-83	9.092	9.687	10.401	11.119	11.327
Dec-83	9.188	9.803	10.522	11.366	11.469
Jan-84	9.112	9.546	10.343	11.168	11.340
Feb-84	9.368	9.925	10.745	11.503	11.698
Mar-84	9.979	10.658	11.262	12.028	12.187
Apr-84	9.960	10.713	11.591	12.297	12.452
May-84	10.006	11.901	12.642	13.410	13.595
Jun-84	10.200	11.928	12.777	13.357	13.439
Jul-84	10.663	11.563	12.236	12.538	12.484
Aug-84	10.905	11.608	12.201	12.472	12.388
Sep-84	10.437	11.056	11.724	12.172	12.023
Oct-84	9.229	9.989	10.833	11.279	11.316
Nov-84	8.649	9.485	10.253	11.047	11.272
Dec-84	7.975	9.024	9.793	10.978	11.263
Jan-85	8.241	8.844	9.689	10.59	10.878
Feb-85	8.708	9.683	10.413	11.313	11.663
Mar-85	8.37	9.492	10.164	11.117	11.426
Apr-85	7.999	8.929	9.772	10.778	11.228
May-85	7.29	8.07	8.748	9.733	10.204
Jun-85	6.992	7.669	8.536	9.717	10.193
Jul-85	7.434	8.158	8.842	9.926	10.503
Aug-85	7.3	7.883	8.757	9.714	10.166
Sep-85	7.221	7.825	8.717	9.8	10.27
Oct-85	7.352	7.776	8.543	9.507	10.007
Nov-85	7.321	7.697	8.272	9.185	9.598
Dec-85	7.174	7.484	7.857	8.629	9.015
Jan-86	7.124	7.601	7.834	8.65	9.135
Feb-86	7.171	7.393	7.558	8.035	7.977
Mar-86	6.474	6.796	6.834	7.381	7.248
Apr-86	6.224	6.501	6.706	7.404	7.25
May-86	6.43	6.846	7.198	8.103	7.86
Jun-86	6.095	6.423	6.778	7.518	7.584
Jul-86	5.908	6.201	6.464	7.394	7.692
Aug-86	5.259	5.443	5.829	6.642	6.919
Sep-86	5.326	5.73	6.329	7.285	7.695
Oct-86	5.304	5.664	6.154	7.057	7.369
Nov-86	5.496	5.732	6.089	6.747	7.082
Dec-86	5.78	6.065	6.3	6.918	7.18
Jan-87	5.71	5.918	6.188	6.75	7.16
Feb-87	5.559	5.949	6.225	6.744	7.194
Mar-87	5.681	6.175	6.457	7.061	7.515
Apr-87	5.63	6.841	7.245	7.843	8.155
May-87	5.813	7.037	7.531	8.118	8.392
Jun-87	5.821	6.817	7.354	8.012	8.303
Jul-87	6.182	6.949	7.482	8.138	8.618
Aug-87	6.36	7.211	7.827	8.426	8.934
Sep-87	6.754	7.883	8.448	9.101	9.527
Oct-87	5.39	6.667	7.442	8.376	8.797
Nov-87	5.451	6.876	7.567	8.463	8.923
Dec-87	5.794	7.247	7.645	8.308	8.761
Jan-88	5.759	6.672	7.074	7.686	8.239
Feb-88	5.745	6.612	7.009	7.555	8.129
Mar-88	5.825	6.854	7.283	7.978	8.539
Apr-88	6.11	7.103	7.564	8.251	8.848
May-88	6.642	7.67	8.058	8.656	9.134
Jun-88	6.701	7.514	7.871	8.315	8.751
Jul-88	7.097	7.895	8.2	8.597	9.041
Aug-88	7.491	8.112	8.539	8.796	9.136
Sep-88	7.412	7.992	8.276	8.498	8.754
Oct-88	7.534	7.907	8.082	8.217	8.549
Nov-88	8.005	8.469	8.647	8.735	8.894
Dec-88	8.301	8.912	8.91	9.005	8.891
Jan-89	8.577	8.889	8.912	8.835	8.773
Feb-89	8.917	9.36	9.317	9.162	9.052
Mar-89	9.131	9.641	9.524	9.293	8.993
Apr-89	8.621	9.042	8.974	8.899	8.78
May-89	8.818	8.771	8.611	8.547	8.357
Jun-89	8.171	8.129	7.909	7.944	7.908
Jul-89	7.909	7.503	7.367	7.443	7.727
Aug-89	8.081	8.118	8.243	8.134	8.051
Sep-89	8.092	8.321	8.269	8.228	8.094
Oct-89	7.952	7.751	7.681	7.762	7.761
Nov-89	7.765	7.674	7.588	7.686	7.678
Dec-89	7.726	7.747	7.742	7.764	7.783
Jan-90	7.922	8.081	8.103	8.25	8.279
Feb-90	7.954	8.055	8.246	8.378	8.321
Mar-90	7.99	8.309	8.442	8.535	8.455
Apr-90	8.046	8.543	8.758	8.887	8.847
May-90	7.931	8.126	8.311	8.487	8.404
Jun-90	7.919	7.895	8.036	8.274	8.271
Jul-90	7.667	7.576	7.749	8.04	8.291
Aug-90	7.558	7.634	7.903	8.458	8.767
Sep-90	7.298	7.564	7.842	8.392	8.747
Oct-90	7.269	7.46	7.607	8.165	8.619
Nov-90	7.173	7.357	7.375	7.869	8.179
Dec-90	6.608	6.923	7.058	7.662	8.06
Jan-91	6.32	6.613	6.923	7.528	8.091
Feb-91	6.165	6.501	6.91	7.57	8.033
Mar-91	5.856	6.313	6.916	7.629	8.053
Apr-91	5.617	6.177	6.684	7.557	8.077
May-91	5.642	6.056	6.771	7.621	8.085
Jun-91	5.65	6.198	6.788	7.82	8.262
Jul-91	5.639	6.075	6.695	7.712	8.214
Aug-91	5.434	5.635	6.24	7.277	7.898
Sep-91	5.208	5.366	5.929	6.868	7.593
Oct-91	4.91	5.157	5.615	6.712	7.733
Nov-91	4.429	4.76	5.293	6.458	7.644
Dec-91	3.914	4.165	4.732	5.923	7.089
Jan-92	3.906	4.354	5.046	6.434	7.64
Feb-92	3.999	4.413	5.197	6.56	7.533
Mar-92	4.103	4.612	5.567	6.92	7.713
Apr-92	3.761	4.379	5.406	6.922	7.82
May-92	3.76	4.187	5.122	6.627	7.415
Jun-92	3.623	4.005	4.803	6.313	7.3
Jul-92	3.231	3.591	4.373	5.847	6.921
Aug-92	3.209	3.438	4.112	5.615	6.768
Sep-92	2.732	3.107	3.777	5.359	6.659
Oct-92	3.007	3.623	4.342	5.904	7.067
Nov-92	3.345	3.925	4.742	6.233	7.209
Dec-92	3.127	3.653	4.505	6.055	6.975
Jan-93	2.949	3.435	4.15	5.593	6.685
Feb-93	2.997	3.308	3.875	5.226	6.244
Mar-93	2.929	3.355	3.918	5.251	6.319
Apr-93	2.952	3.222	3.789	5.156	6.36
May-93	3.111	3.577	4.179	5.374	6.431
Jun-93	3.079	3.416	3.986	5.056	6.03
Jul-93	3.08	3.505	4.084	5.154	6.022
Aug-93	3.052	3.356	3.835	4.798	5.644
Sep-93	2.963	3.376	3.852	4.78	5.617
Oct-93	3.082	3.453	3.938	4.818	5.641
Nov-93	3.188	3.634	4.174	5.148	6.04
Dec-93	3.065	3.644	4.207	5.213	6.04
Jan-94	3.016	3.519	4.079	5.018	5.85
Feb-94	3.431	4.065	4.639	5.587	6.201
Mar-94	3.536	4.48	5.17	6.206	6.873
Apr-94	3.945	5.003	5.68	6.592	7.148
May-94	4.27	5.301	5.928	6.723	7.234
Jun-94	4.223	5.431	6.087	6.921	7.454
Jul-94	4.353	5.299	5.907	6.672	7.281
Aug-94	4.644	5.469	6.086	6.754	7.263
Sep-94	4.776	5.887	6.497	7.218	7.678
Oct-94	5.138	6.048	6.732	7.412	7.855
Nov-94	5.665	6.841	7.263	7.673	7.856
Dec-94	5.662	7.153	7.503	7.674	7.742
Jan-95	5.932	6.748	7.126	7.419	7.56
Feb-95	5.868	6.345	6.668	6.961	7.133
Mar-95	5.823	6.356	6.672	6.973	7.199
Apr-95	5.809	6.2	6.469	6.767	7.104
May-95	5.742	5.699	5.78	5.993	6.329
Jun-95	5.551	5.563	5.708	5.894	6.281
Jul-95	5.527	5.576	5.792	6.076	6.544
Aug-95	5.398	5.625	5.756	5.985	6.318
Sep-95	5.353	5.633	5.725	5.912	6.202
Oct-95	5.421	5.514	5.533	5.726	6.043
Nov-95	5.424	5.325	5.273	5.456	5.718
Dec-95	5.059	5.09	5.088	5.307	5.564
Jan-96	5	4.889	4.87	5.19	5.605
Feb-96	4.982	5.144	5.363	5.667	6.108
Mar-96	5.099	5.413	5.691	6.043	6.323
Apr-96	5.1	5.537	5.94	6.32	6.634
May-96	5.138	5.681	6.161	6.562	6.787
Jun-96	5.144	5.63	6.013	6.379	6.674
Jul-96	5.279	5.872	6.117	6.493	6.749
Aug-96	5.249	5.832	6.231	6.636	6.902
Sep-96	5.057	5.668	6.008	6.386	6.678
Oct-96	5.116	5.442	5.668	6.007	6.302
Nov-96	5.098	5.377	5.508	5.756	6.014
Dec-96	5.12	5.46	5.79	6.143	6.387
Jan-97	5.125	5.493	5.839	6.182	6.48
Feb-97	5.196	5.59	6.008	6.318	6.488
Mar-97	5.286	5.915	6.335	6.674	6.827
Apr-97	5.256	5.809	6.193	6.492	6.651
May-97	5.14	5.795	6.117	6.412	6.593
Jun-97	5.194	5.612	5.991	6.308	6.429
Jul-97	5.203	5.505	5.66	5.832	5.962
Aug-97	5.185	5.656	5.874	6.13	6.252
Sep-97	5.02	5.567	5.712	5.911	6.035
Oct-97	5.173	5.303	5.567	5.633	5.77
Nov-97	5.257	5.453	5.711	5.759	5.808
Dec-97	5.307	5.415	5.578	5.632	5.683
Jan-98	5.158	5.167	5.263	5.31	5.491
Feb-98	5.274	5.333	5.469	5.512	5.54
Mar-98	5.134	5.318	5.503	5.544	5.574
Apr-98	4.946	5.333	5.509	5.562	5.602
May-98	4.997	5.357	5.465	5.485	5.461
Jun-98	5.012	5.341	5.404	5.385	5.346
Jul-98	5.049	5.439	5.418	5.467	5.419
Aug-98	4.846	5.028	4.814	4.865	5.047
Sep-98	4.302	4.572	4.277	4.347	4.443
Oct-98	4.323	4.399	4.167	4.48	4.668
Nov-98	4.49	4.635	4.478	4.562	4.664
Dec-98	4.435	4.58	4.519	4.591	4.599
Jan-99	4.437	4.459	4.531	4.527	4.624
Feb-99	4.642	4.849	5.097	5.206	5.253
Mar-99	4.453	4.654	4.938	5.169	5.231
Apr-99	4.518	4.726	5.011	5.266	5.361
May-99	4.62	4.916	5.354	5.64	5.512
Jun-99	4.734	5.158	5.456	5.759	5.711
Jul-99	4.713	5.243	5.559	5.922	5.831
Aug-99	4.906	5.438	5.65	5.968	5.863
Sep-99	4.807	5.376	5.55	5.879	5.792
Oct-99	5.045	5.494	5.723	6.045	5.952
Nov-99	5.249	5.759	5.931	6.143	6.141
Dec-99	5.327	5.898	6.148	6.39	6.387
Jan-00	5.663	6.169	6.506	6.66	6.557
Feb-00	5.735	6.101	6.441	6.569	6.236
Mar-00	5.827	6.308	6.39	6.253	6.047
Apr-00	5.8	6.453	6.567	6.456	6.039
May-00	5.575	6.27	6.597	6.453	6.116
Jun-00	5.839	6.411	6.28	6.158	5.904
Jul-00	6.194	6.367	6.204	6.134	5.913
Aug-00	6.256	6.131	6.087	5.932	5.573
Sep-00	6.166	6.201	5.885	5.797	5.703
Oct-00	6.308	6.209	5.824	5.706	5.667
Nov-00	6.162	5.835	5.548	5.389	5.41
Dec-00	5.849	5.424	5.051	4.989	5.097
Jan-01	4.966	4.655	4.567	4.847	5.162
Feb-01	4.833	4.418	4.386	4.699	4.859
Mar-01	4.266	4.164	4.186	4.62	4.919
Apr-01	3.853	4.036	4.278	4.938	5.372
May-01	3.605	3.792	4.213	4.977	5.436
Jun-01	3.628	3.882	4.233	5.067	5.477
Jul-01	3.521	3.458	3.774	4.671	5.166
Aug-01	3.335	3.334	3.609	4.497	4.844
Sep-01	2.349	2.517	2.822	4.055	4.682
Oct-01	2.027	1.957	2.37	3.675	4.367
Nov-01	1.782	2.051	2.84	4.103	4.911
Dec-01	1.698	2.053	3.066	4.447	5.206
Jan-02	1.759	2.278	3.153	4.519	5.205
Feb-02	1.757	2.197	3.044	4.358	4.93
Mar-02	1.785	2.689	3.674	5.003	5.46
Apr-02	1.749	2.25	3.216	4.584	5.193
May-02	1.722	2.27	3.187	4.414	5.187
Jun-02	1.689	1.94	2.875	4.149	4.993
Jul-02	1.693	1.724	2.223	3.636	4.716
Aug-02	1.667	1.748	2.109	3.284	4.234
Sep-02	1.543	1.431	1.681	2.673	3.751
Oct-02	1.436	1.337	1.665	2.876	4.1
Nov-02	1.219	1.504	2.039	3.319	4.305
Dec-02	1.187	1.209	1.582	2.809	3.976
Jan-03	1.169	1.286	1.691	3.044	4.137
Feb-03	1.205	1.234	1.51	2.726	3.805
Mar-03	1.104	1.145	1.486	2.825	3.948
Apr-03	1.111	1.15	1.477	2.887	4.013
May-03	1.11	1.163	1.317	2.351	3.483
Jun-03	0.876	1.04	1.299	2.501	3.662
Jul-03	0.94	1.226	1.738	3.362	4.59
Aug-03	0.988	1.3	1.961	3.513	4.592
Sep-03	0.928	1.055	1.462	2.88	4.122
Oct-03	0.937	1.239	1.821	3.296	4.492
Nov-03	0.926	1.449	2.034	3.387	4.458
Dec-03	0.928	1.228	1.839	3.264	4.42

Figure 1b. U.S. Zero-Coupon Yields: Forecast Sample 1994:1 - 2003:12

Notes: The figure shows time-series plots of our end-of-month U.S. zero coupon yields (for a selected set of maturities). The yields have been constructed using the Fama and Bliss (1987) bootstrap method. The full sample period is January 1970 - December 2003 (408 observations), and is shown in Panel (a). The solid vertical line shows the beginning of the out-of-sample period January 1994 - December 2003 (120 observations). The start of the initial out-of-sample calibrating period for model weights in the forecast combination scheme is indicated by the dotted line. The calibration and out-of-sample periods are shown separately in Panel (b). Yellow bars highlight NBER recession periods.

Data for Figure 1b

Month	3m Yield	1y Yield	2y Yield	5y Yield	10y Yield
Jan-94	3.016	3.519	4.079	5.018	5.85
Feb-94	3.431	4.065	4.639	5.587	6.201
Mar-94	3.536	4.48	5.17	6.206	6.873
Apr-94	3.945	5.003	5.68	6.592	7.148
May-94	4.27	5.301	5.928	6.723	7.234
Jun-94	4.223	5.431	6.087	6.921	7.454
Jul-94	4.353	5.299	5.907	6.672	7.281
Aug-94	4.644	5.469	6.086	6.754	7.263
Sep-94	4.776	5.887	6.497	7.218	7.678
Oct-94	5.138	6.048	6.732	7.412	7.855
Nov-94	5.665	6.841	7.263	7.673	7.856
Dec-94	5.662	7.153	7.503	7.674	7.742
Jan-95	5.932	6.748	7.126	7.419	7.56
Feb-95	5.868	6.345	6.668	6.961	7.133
Mar-95	5.823	6.356	6.672	6.973	7.199
Apr-95	5.809	6.2	6.469	6.767	7.104
May-95	5.742	5.699	5.78	5.993	6.329
Jun-95	5.551	5.563	5.708	5.894	6.281
Jul-95	5.527	5.576	5.792	6.076	6.544
Aug-95	5.398	5.625	5.756	5.985	6.318
Sep-95	5.353	5.633	5.725	5.912	6.202
Oct-95	5.421	5.514	5.533	5.726	6.043
Nov-95	5.424	5.325	5.273	5.456	5.718
Dec-95	5.059	5.09	5.088	5.307	5.564
Jan-96	5	4.889	4.87	5.19	5.605
Feb-96	4.982	5.144	5.363	5.667	6.108
Mar-96	5.099	5.413	5.691	6.043	6.323
Apr-96	5.1	5.537	5.94	6.32	6.634
May-96	5.138	5.681	6.161	6.562	6.787
Jun-96	5.144	5.63	6.013	6.379	6.674
Jul-96	5.279	5.872	6.117	6.493	6.749
Aug-96	5.249	5.832	6.231	6.636	6.902
Sep-96	5.057	5.668	6.008	6.386	6.678
Oct-96	5.116	5.442	5.668	6.007	6.302
Nov-96	5.098	5.377	5.508	5.756	6.014
Dec-96	5.12	5.46	5.79	6.143	6.387
Jan-97	5.125	5.493	5.839	6.182	6.48
Feb-97	5.196	5.59	6.008	6.318	6.488
Mar-97	5.286	5.915	6.335	6.674	6.827
Apr-97	5.256	5.809	6.193	6.492	6.651
May-97	5.14	5.795	6.117	6.412	6.593
Jun-97	5.194	5.612	5.991	6.308	6.429
Jul-97	5.203	5.505	5.66	5.832	5.962
Aug-97	5.185	5.656	5.874	6.13	6.252
Sep-97	5.02	5.567	5.712	5.911	6.035
Oct-97	5.173	5.303	5.567	5.633	5.77
Nov-97	5.257	5.453	5.711	5.759	5.808
Dec-97	5.307	5.415	5.578	5.632	5.683
Jan-98	5.158	5.167	5.263	5.31	5.491
Feb-98	5.274	5.333	5.469	5.512	5.54
Mar-98	5.134	5.318	5.503	5.544	5.574
Apr-98	4.946	5.333	5.509	5.562	5.602
May-98	4.997	5.357	5.465	5.485	5.461
Jun-98	5.012	5.341	5.404	5.385	5.346
Jul-98	5.049	5.439	5.418	5.467	5.419
Aug-98	4.846	5.028	4.814	4.865	5.047
Sep-98	4.302	4.572	4.277	4.347	4.443
Oct-98	4.323	4.399	4.167	4.48	4.668
Nov-98	4.49	4.635	4.478	4.562	4.664
Dec-98	4.435	4.58	4.519	4.591	4.599
Jan-99	4.437	4.459	4.531	4.527	4.624
Feb-99	4.642	4.849	5.097	5.206	5.253
Mar-99	4.453	4.654	4.938	5.169	5.231
Apr-99	4.518	4.726	5.011	5.266	5.361
May-99	4.62	4.916	5.354	5.64	5.512
Jun-99	4.734	5.158	5.456	5.759	5.711
Jul-99	4.713	5.243	5.559	5.922	5.831
Aug-99	4.906	5.438	5.65	5.968	5.863
Sep-99	4.807	5.376	5.55	5.879	5.792
Oct-99	5.045	5.494	5.723	6.045	5.952
Nov-99	5.249	5.759	5.931	6.143	6.141
Dec-99	5.327	5.898	6.148	6.39	6.387
Jan-00	5.663	6.169	6.506	6.66	6.557
Feb-00	5.735	6.101	6.441	6.569	6.236
Mar-00	5.827	6.308	6.39	6.253	6.047
Apr-00	5.8	6.453	6.567	6.456	6.039
May-00	5.575	6.27	6.597	6.453	6.116
Jun-00	5.839	6.411	6.28	6.158	5.904
Jul-00	6.194	6.367	6.204	6.134	5.913
Aug-00	6.256	6.131	6.087	5.932	5.573
Sep-00	6.166	6.201	5.885	5.797	5.703
Oct-00	6.308	6.209	5.824	5.706	5.667
Nov-00	6.162	5.835	5.548	5.389	5.41
Dec-00	5.849	5.424	5.051	4.989	5.097
Jan-01	4.966	4.655	4.567	4.847	5.162
Feb-01	4.833	4.418	4.386	4.699	4.859
Mar-01	4.266	4.164	4.186	4.62	4.919
Apr-01	3.853	4.036	4.278	4.938	5.372
May-01	3.605	3.792	4.213	4.977	5.436
Jun-01	3.628	3.882	4.233	5.067	5.477
Jul-01	3.521	3.458	3.774	4.671	5.166
Aug-01	3.335	3.334	3.609	4.497	4.844
Sep-01	2.349	2.517	2.822	4.055	4.682
Oct-01	2.027	1.957	2.37	3.675	4.367
Nov-01	1.782	2.051	2.84	4.103	4.911
Dec-01	1.698	2.053	3.066	4.447	5.206
Jan-02	1.759	2.278	3.153	4.519	5.205
Feb-02	1.757	2.197	3.044	4.358	4.93
Mar-02	1.785	2.689	3.674	5.003	5.46
Apr-02	1.749	2.25	3.216	4.584	5.193
May-02	1.722	2.27	3.187	4.414	5.187
Jun-02	1.689	1.94	2.875	4.149	4.993
Jul-02	1.693	1.724	2.223	3.636	4.716
Aug-02	1.667	1.748	2.109	3.284	4.234
Sep-02	1.543	1.431	1.681	2.673	3.751
Oct-02	1.436	1.337	1.665	2.876	4.1
Nov-02	1.219	1.504	2.039	3.319	4.305
Dec-02	1.187	1.209	1.582	2.809	3.976
Jan-03	1.169	1.286	1.691	3.044	4.137
Feb-03	1.205	1.234	1.51	2.726	3.805
Mar-03	1.104	1.145	1.486	2.825	3.948
Apr-03	1.111	1.15	1.477	2.887	4.013
May-03	1.11	1.163	1.317	2.351	3.483
Jun-03	0.876	1.04	1.299	2.501	3.662
Jul-03	0.94	1.226	1.738	3.362	4.59
Aug-03	0.988	1.3	1.961	3.513	4.592
Sep-03	0.928	1.055	1.462	2.88	4.122
Oct-03	0.937	1.239	1.821	3.296	4.492
Nov-03	0.926	1.449	2.034	3.387	4.458
Dec-03	0.928	1.228	1.839	3.264	4.42

Figure 2a. R² in Regressions of Individual Macro Series on PCA Factors: First PCA Factor

Data for Figure 2a

Category	Macro Series	R2
1	1	0.582537
1	2	0.678626
1	3	0.881167
1	4	0.854461
1	5	0.808121
1	6	0.614026
1	7	0.580031
1	8	0.328113
1	9	0.643662
1	10	0.849005
1	11	0.834823
1	12	0.598154
1	13	0.891026
1	14	0.006892
1	15	0.035295
1	16	0.478916
1	17	0.823095
2	18	0.25495
2	19	0.244274
2	20	0.729135
2	21	0.7123
2	22	0.142848
2	23	0.243101
2	24	0.37475
2	25	0.692874
2	26	0.665573
2	27	0.703026
2	28	0.517784
2	29	0.512024
2	30	0.752867
2	31	0.787409
2	32	0.017643
2	33	0.738809
2	34	0.723947
2	35	0.721027
2	36	0.559083
2	37	0.511336
2	38	0.557995
2	39	0.37154
2	40	0.535555
2	41	0.197966
2	42	0.014415
2	43	0.789273
2	44	0.359693
2	45	0.485533
2	46	0.42729
2	47	0.63199
3	48	0.439189
4	49	0.865227
5	50	0.538218
6	51	0.463093
6	52	0.216455
6	53	0.259755
6	54	0.339376
6	55	0.448591
6	56	0.465342
6	57	0.283628
6	58	0.301368
6	59	0.317795
6	60	0.421234
7	61	0.479389
7	62	0.265412
7	63	0.379711
8	64	0.630421
8	65	0.442752
8	66	0.470406
8	67	0.675154
8	68	0.766778
8	69	0.631277
8	70	0.276229
9	71	0.043854
9	72	0.0486
9	73	0.003946
9	74	0.012079
10	75	0.051495
10	76	0.006367
10	77	0.12379
10	78	0.007315
10	79	0.00374
11	80	0.018831
12	81	0.001019
12	82	0.010303
12	83	0.028801
12	84	0.135703
12	85	0.012012
12	86	0.000854
12	87	0.062678
12	88	0.029126
12	89	0.10253
12	90	0.305284
12	91	0.217054
13	92	0.106865
13	93	0.071115
13	94	0.047518
13	95	0.040427
13	96	0.169249
13	97	0.306902
13	98	0.112054
13	99	0.168916
13	100	0.055607
13	101	0.106202
13	102	0.359436
13	103	0.088395
13	104	0.117424
13	105	0.250553
13	106	0.222929
13	107	0.149129
13	108	0.156963
13	109	0.145836
13	110	0.127158
13	111	0.078451
13	112	0.169889
14	113	0.059662
14	114	0.098746
14	115	0.042002
15	116	0.01792

Figure 2b. R² in Regressions of Individual Macro Series on PCA Factors: Second PCA Factor

Data for Figure 2b

Category	Macro Series	R2
1	1	0.01174
1	2	0.015714
1	3	0.008927
1	4	0.01957
1	5	0.03273
1	6	0.032822
1	7	0.100864
1	8	0.004863
1	9	0.144349
1	10	0.00273
1	11	0.001196
1	12	0.007046
1	13	0.002799
1	14	0.000556
1	15	0.001754
1	16	0.014207
1	17	0.001833
2	18	0.12403
2	19	0.242479
2	20	0.16798
2	21	0.168814
2	22	0.000128
2	23	0.115193
2	24	0.058674
2	25	0.000602
2	26	0.042115
2	27	0.014826
2	28	0.06181
2	29	0.047512
2	30	0.150732
2	31	0.130767
2	32	0.413605
2	33	0.00773
2	34	0.164323
2	35	0.164589
2	36	0.122652
2	37	0.248487
2	38	0.260316
2	39	0.437288
2	40	0.178708
2	41	0.166105
2	42	0.063212
2	43	0.078793
2	44	0.112338
2	45	0.030442
2	46	0.113908
2	47	0.071158
3	48	0.16206
4	49	0.002957
5	50	0.08528
6	51	0.002235
6	52	0.01039
6	53	0.001015
6	54	0.007998
6	55	0.004317
6	56	0.048011
6	57	7.79E-05
6	58	0.044254
6	59	0.095179
6	60	0.004691
7	61	0.165448
7	62	0.229656
7	63	0.154788
8	64	0.002205
8	65	0.029705
8	66	0.046865
8	67	0.016138
8	68	0.000678
8	69	0.032773
8	70	0.215615
9	71	0.097848
9	72	0.084585
9	73	0.258424
9	74	0.344897
10	75	0.003406
10	76	0.006944
10	77	0.004287
10	78	0.000346
10	79	0.003371
11	80	0.476266
12	81	0.000613
12	82	0.026024
12	83	0.119574
12	84	0.234435
12	85	0.00271
12	86	0.004533
12	87	0.030788
12	88	0.220343
12	89	0.071707
12	90	0.08142
12	91	0.045179
13	92	0.757093
13	93	0.735563
13	94	0.734452
13	95	0.235237
13	96	0.246727
13	97	0.23122
13	98	0.46262
13	99	0.774427
13	100	0.535844
13	101	0.590725
13	102	0.224235
13	103	0.819571
13	104	0.538997
13	105	0.560618
13	106	0.670179
13	107	0.78655
13	108	0.786382
13	109	0.755702
13	110	0.549464
13	111	0.792546
13	112	0.53569
14	113	0.58361
14	114	0.370673
14	115	0.59418
15	116	0.070299

 

Figure 2c. R² in Regressions of Individual Macro Series on PCA Factors: Third PCA Factor

Notes: The figure shows the R² when regressing the individual series in the macro panel on each of the first three macro factors. The macro dataset consists of 116 series (transformed to ensure stationarity) and the sample period is January 1970 - December 2003 (408 monthly observations). Panels (a), (b) and (c) show the results for the first, second and third macro factor, respectively. In each panel the macro series are grouped according to the 15 categories as indicated on the horizontal axis. The group categories are (1) real output and income, (2) employment and hours, (3) real retail, (4) manufacturing and trade sales, (5) consumption, (6) housing starts and sales, (7) inventories, (8) orders, (9) stock prices, (10) exchange rates, (11) federal funds rate, (12) money and credit quantity aggregates, (13) prices indices, (14) average hourly earnings and (15) miscellaneous.

Data for Figure 2c

Category	Macro Series	R2
1	1	0.002729
1	2	0.014023
1	3	0.002397
1	4	2.46E-05
1	5	0.000581
1	6	0.073733
1	7	0.070968
1	8	0.038648
1	9	0.072469
1	10	0.007217
1	11	0.021144
1	12	0.099038
1	13	0.000339
1	14	0.004627
1	15	0.000813
1	16	0.207427
1	17	0.019485
2	18	0.152216
2	19	0.11109
2	20	7.00E-09
2	21	0.000165
2	22	0.293521
2	23	0.32993
2	24	0.01164
2	25	0.00065
2	26	0.141167
2	27	0.041864
2	28	0.221495
2	29	0.116388
2	30	0.036199
2	31	0.035093
2	32	0.03288
2	33	0.027329
2	34	0.021692
2	35	0.043128
2	36	0.003684
2	37	0.014206
2	38	0.010553
2	39	0.026035
2	40	0.01037
2	41	0.056579
2	42	0.009334
2	43	0.017269
2	44	0.230765
2	45	0.109662
2	46	0.198815
2	47	0.060418
3	48	0.081042
4	49	0.02703
5	50	0.073724
6	51	0.139286
6	52	0.139055
6	53	0.049224
6	54	0.113621
6	55	0.075943
6	56	0.066691
6	57	0.114031
6	58	0.017335
6	59	0.019903
6	60	0.082107
7	61	0.026003
7	62	0.240743
7	63	0.231277
8	64	0.134934
8	65	0.233122
8	66	0.003455
8	67	0.107107
8	68	0.018083
8	69	0.002261
8	70	0.125456
9	71	0.028848
9	72	0.032151
9	73	0.119848
9	74	0.175055
10	75	0.061502
10	76	0.047285
10	77	0.125467
10	78	0.002926
10	79	0.005079
11	80	9.57E-06
12	81	0.449035
12	82	0.435628
12	83	0.131709
12	84	0.162051
12	85	0.149093
12	86	0.313409
12	87	0.284221
12	88	0.317046
12	89	0.066629
12	90	0.016485
12	91	0.083199
13	92	0.008585
13	93	0.002158
13	94	5.40E-05
13	95	1.23E-06
13	96	2.60E-05
13	97	0.002709
13	98	0.064146
13	99	0.018131
13	100	0.058521
13	101	0.006305
13	102	0.116481
13	103	0.011257
13	104	0.097492
13	105	0.037911
13	106	0.022317
13	107	0.021465
13	108	0.014828
13	109	0.068837
13	110	0.147954
13	111	0.006868
13	112	0.155201
14	113	0.128055
14	114	0.064399
14	115	0.166552
15	116	0.131223

Figure 3a. Macro Factors Compared to Individual Macro Series: First PCA Factor - IP:Total

Data for Figure 3a

Month	PCA Factor	IP:Total
Jan-70	-0.002	0.089
Feb-70	-0.143	-0.034
Mar-70	-0.180	-0.068
Apr-70	-0.225	-0.113
May-70	-0.288	-0.108
Jun-70	-0.280	-0.095
Jul-70	-0.296	-0.159
Aug-70	-0.301	-0.173
Sep-70	-0.370	-0.193
Oct-70	-0.407	-0.226
Nov-70	-0.490	-0.328
Dec-70	-0.520	-0.311
Jan-71	-0.381	-0.185
Feb-71	-0.274	-0.055
Mar-71	-0.233	-0.061
Apr-71	-0.197	-0.060
May-71	-0.119	-0.020
Jun-71	-0.086	0.011
Jul-71	-0.050	0.048
Aug-71	-0.057	0.021
Sep-71	-0.028	0.001
Oct-71	0.054	0.116
Nov-71	0.160	0.252
Dec-71	0.250	0.304
Jan-72	0.243	0.248
Feb-72	0.292	0.328
Mar-72	0.330	0.387
Apr-72	0.371	0.431
May-72	0.386	0.451
Jun-72	0.408	0.427
Jul-72	0.394	0.417
Aug-72	0.417	0.431
Sep-72	0.493	0.517
Oct-72	0.500	0.472
Nov-72	0.549	0.499
Dec-72	0.578	0.536
Jan-73	0.600	0.547
Feb-73	0.591	0.469
Mar-73	0.610	0.487
Apr-73	0.573	0.454
May-73	0.497	0.392
Jun-73	0.492	0.424
Jul-73	0.491	0.417
Aug-73	0.464	0.435
Sep-73	0.390	0.367
Oct-73	0.371	0.372
Nov-73	0.331	0.339
Dec-73	0.295	0.300
Jan-74	0.162	0.220
Feb-74	0.078	0.155
Mar-74	-0.013	0.069
Apr-74	-0.030	0.070
May-74	-0.067	0.085
Jun-74	-0.104	0.076
Jul-74	-0.153	0.068
Aug-74	-0.207	0.044
Sep-74	-0.249	0.008
Oct-74	-0.379	-0.032
Nov-74	-0.495	-0.086
Dec-74	-0.684	-0.267
Jan-75	-0.841	-0.434
Feb-75	-0.924	-0.463
Mar-75	-0.996	-0.556
Apr-75	-1.071	-0.617
May-75	-1.000	-0.619
Jun-75	-0.977	-0.656
Jul-75	-0.929	-0.618
Aug-75	-0.838	-0.562
Sep-75	-0.727	-0.474
Oct-75	-0.615	-0.416
Nov-75	-0.531	-0.384
Dec-75	-0.393	-0.209
Jan-76	-0.186	0.036
Feb-76	0.010	0.163
Mar-76	0.174	0.333
Apr-76	0.245	0.386
May-76	0.270	0.426
Jun-76	0.292	0.456
Jul-76	0.279	0.425
Aug-76	0.247	0.400
Sep-76	0.212	0.392
Oct-76	0.210	0.340
Nov-76	0.186	0.339
Dec-76	0.224	0.399
Jan-77	0.265	0.392
Feb-77	0.138	0.296
Mar-77	0.174	0.303
Apr-77	0.241	0.368
May-77	0.231	0.378
Jun-77	0.262	0.396
Jul-77	0.289	0.426
Aug-77	0.286	0.416
Sep-77	0.291	0.385
Oct-77	0.294	0.400
Nov-77	0.356	0.404
Dec-77	0.326	0.332
Jan-78	0.337	0.285
Feb-78	0.255	0.251
Mar-78	0.263	0.198
Apr-78	0.297	0.227
May-78	0.366	0.275
Jun-78	0.350	0.264
Jul-78	0.374	0.267
Aug-78	0.341	0.251
Sep-78	0.345	0.264
Oct-78	0.332	0.253
Nov-78	0.327	0.277
Dec-78	0.344	0.311
Jan-79	0.299	0.329
Feb-79	0.297	0.361
Mar-79	0.247	0.375
Apr-79	0.239	0.296
May-79	0.046	0.159
Jun-79	0.105	0.168
Jul-79	0.061	0.133
Aug-79	0.032	0.119
Sep-79	-0.046	0.072
Oct-79	-0.050	0.062
Nov-79	-0.112	0.046
Dec-79	-0.181	0.006
Jan-80	-0.218	-0.018
Feb-80	-0.220	0.034
Mar-80	-0.256	0.010
Apr-80	-0.419	-0.019
May-80	-0.493	-0.076
Jun-80	-0.720	-0.231
Jul-80	-0.714	-0.295
Aug-80	-0.679	-0.312
Sep-80	-0.562	-0.266
Oct-80	-0.485	-0.187
Nov-80	-0.410	-0.156
Dec-80	-0.365	-0.065
Jan-81	-0.358	-0.042
Feb-81	-0.397	-0.099
Mar-81	-0.427	-0.119
Apr-81	-0.337	-0.079
May-81	-0.203	-0.001
Jun-81	-0.094	0.155
Jul-81	-0.105	0.245
Aug-81	-0.107	0.312
Sep-81	-0.149	0.292
Oct-81	-0.292	0.178
Nov-81	-0.392	0.089
Dec-81	-0.492	-0.052
Jan-82	-0.567	-0.136
Feb-82	-0.652	-0.195
Mar-82	-0.532	-0.083
Apr-82	-0.566	-0.144
May-82	-0.596	-0.163
Jun-82	-0.612	-0.232
Jul-82	-0.645	-0.273
Aug-82	-0.649	-0.327
Sep-82	-0.690	-0.365
Oct-82	-0.622	-0.354
Nov-82	-0.621	-0.359
Dec-82	-0.571	-0.322
Jan-83	-0.485	-0.307
Feb-83	-0.312	-0.130
Mar-83	-0.343	-0.249
Apr-83	-0.267	-0.176
May-83	-0.186	-0.070
Jun-83	-0.090	0.001
Jul-83	0.026	0.047
Aug-83	0.133	0.139
Sep-83	0.202	0.237
Oct-83	0.287	0.335
Nov-83	0.388	0.416
Dec-83	0.450	0.450
Jan-84	0.507	0.521
Feb-84	0.507	0.531
Mar-84	0.599	0.569
Apr-84	0.525	0.565
May-84	0.522	0.529
Jun-84	0.507	0.521
Jul-84	0.486	0.508
Aug-84	0.426	0.449
Sep-84	0.374	0.402
Oct-84	0.290	0.317
Nov-84	0.249	0.270
Dec-84	0.268	0.271
Jan-85	0.225	0.245
Feb-85	0.156	0.134
Mar-85	0.121	0.144
Apr-85	0.120	0.113
May-85	0.084	0.082
Jun-85	0.066	0.059
Jul-85	0.043	0.042
Aug-85	0.021	-0.004
Sep-85	0.065	0.012
Oct-85	0.099	0.045
Nov-85	0.087	0.030
Dec-85	0.050	0.028
Jan-86	0.092	0.070
Feb-86	0.134	0.113
Mar-86	0.089	0.055
Apr-86	0.082	0.016
May-86	0.120	0.021
Jun-86	0.114	0.025
Jul-86	0.096	0.010
Aug-86	0.122	0.070
Sep-86	0.118	0.039
Oct-86	0.112	0.028
Nov-86	0.117	0.072
Dec-86	0.113	0.081
Jan-87	0.157	0.077
Feb-87	0.085	0.021
Mar-87	0.167	0.123
Apr-87	0.172	0.169
May-87	0.149	0.198
Jun-87	0.184	0.217
Jul-87	0.206	0.262
Aug-87	0.209	0.266
Sep-87	0.228	0.307
Oct-87	0.205	0.308
Nov-87	0.251	0.354
Dec-87	0.259	0.356
Jan-88	0.227	0.331
Feb-88	0.248	0.361
Mar-88	0.238	0.316
Apr-88	0.240	0.317
May-88	0.255	0.304
Jun-88	0.204	0.274
Jul-88	0.238	0.250
Aug-88	0.191	0.230
Sep-88	0.175	0.222
Oct-88	0.168	0.196
Nov-88	0.159	0.154
Dec-88	0.163	0.140
Jan-89	0.161	0.143
Feb-89	0.171	0.154
Mar-89	0.107	0.103
Apr-89	0.072	0.108
May-89	0.053	0.085
Jun-89	0.007	0.056
Jul-89	-0.026	0.049
Aug-89	-0.057	-0.010
Sep-89	-0.046	0.008
Oct-89	-0.067	0.007
Nov-89	-0.099	-0.023
Dec-89	-0.102	-0.023
Jan-90	-0.123	-0.010
Feb-90	-0.118	-0.049
Mar-90	-0.109	0.019
Apr-90	-0.102	0.024
May-90	-0.142	0.028
Jun-90	-0.117	0.063
Jul-90	-0.117	0.078
Aug-90	-0.120	0.119
Sep-90	-0.185	0.088
Oct-90	-0.203	0.113
Nov-90	-0.250	0.082
Dec-90	-0.346	0.012
Jan-91	-0.402	-0.058
Feb-91	-0.464	-0.052
Mar-91	-0.500	-0.128
Apr-91	-0.538	-0.176
May-91	-0.497	-0.164
Jun-91	-0.484	-0.119
Jul-91	-0.447	-0.086
Aug-91	-0.399	-0.079
Sep-91	-0.391	-0.090
Oct-91	-0.344	-0.055
Nov-91	-0.320	-0.031
Dec-91	-0.265	0.022
Jan-92	-0.293	0.039
Feb-92	-0.236	0.030
Mar-92	-0.159	0.108
Apr-92	-0.106	0.172
May-92	-0.097	0.195
Jun-92	-0.084	0.163
Jul-92	-0.123	0.112
Aug-92	-0.128	0.150
Sep-92	-0.111	0.131
Oct-92	-0.137	0.095
Nov-92	-0.086	0.142
Dec-92	-0.059	0.174
Jan-93	0.020	0.191
Feb-93	0.016	0.238
Mar-93	0.023	0.214
Apr-93	-0.040	0.184
May-93	-0.021	0.161
Jun-93	-0.021	0.125
Jul-93	-0.003	0.138
Aug-93	0.001	0.119
Sep-93	0.030	0.130
Oct-93	0.058	0.152
Nov-93	0.065	0.147
Dec-93	0.089	0.144
Jan-94	0.117	0.175
Feb-94	0.110	0.181
Mar-94	0.098	0.166
Apr-94	0.193	0.204
May-94	0.190	0.216
Jun-94	0.241	0.264
Jul-94	0.248	0.288
Aug-94	0.233	0.277
Sep-94	0.259	0.310
Oct-94	0.263	0.289
Nov-94	0.286	0.298
Dec-94	0.293	0.307
Jan-95	0.281	0.330
Feb-95	0.293	0.325
Mar-95	0.260	0.323
Apr-95	0.197	0.280
May-95	0.143	0.254
Jun-95	0.098	0.234
Jul-95	0.094	0.216
Aug-95	0.101	0.187
Sep-95	0.090	0.227
Oct-95	0.099	0.242
Nov-95	0.050	0.190
Dec-95	0.031	0.177
Jan-96	0.014	0.145
Feb-96	-0.071	0.089
Mar-96	0.009	0.151
Apr-96	0.005	0.139
May-96	0.066	0.184
Jun-96	0.086	0.210
Jul-96	0.118	0.238
Aug-96	0.129	0.254
Sep-96	0.124	0.222
Oct-96	0.120	0.228
Nov-96	0.124	0.244
Dec-96	0.147	0.273
Jan-97	0.143	0.278
Feb-97	0.178	0.329
Mar-97	0.182	0.335
Apr-97	0.205	0.360
May-97	0.203	0.342
Jun-97	0.196	0.324
Jul-97	0.182	0.306
Aug-97	0.217	0.342
Sep-97	0.213	0.353
Oct-97	0.226	0.365
Nov-97	0.253	0.398
Dec-97	0.280	0.386
Jan-98	0.259	0.375
Feb-98	0.290	0.383
Mar-98	0.264	0.328
Apr-98	0.243	0.327
May-98	0.243	0.330
Jun-98	0.245	0.336
Jul-98	0.204	0.289
Aug-98	0.159	0.246
Sep-98	0.200	0.297
Oct-98	0.167	0.249
Nov-98	0.171	0.252
Dec-98	0.134	0.203
Jan-99	0.156	0.188
Feb-99	0.166	0.194
Mar-99	0.172	0.197
Apr-99	0.175	0.202
May-99	0.117	0.185
Jun-99	0.155	0.194
Jul-99	0.173	0.220
Aug-99	0.206	0.259
Sep-99	0.184	0.193
Oct-99	0.165	0.191
Nov-99	0.184	0.200
Dec-99	0.209	0.240
Jan-00	0.239	0.276
Feb-00	0.229	0.243
Mar-00	0.202	0.254
Apr-00	0.190	0.255
May-00	0.235	0.280
Jun-00	0.171	0.277
Jul-00	0.193	0.276
Aug-00	0.143	0.227
Sep-00	0.089	0.189
Oct-00	0.114	0.219
Nov-00	0.060	0.149
Dec-00	0.022	0.119
Jan-01	-0.054	0.068
Feb-01	-0.119	0.027
Mar-01	-0.142	-0.028
Apr-01	-0.175	-0.069
May-01	-0.226	-0.119
Jun-01	-0.253	-0.174
Jul-01	-0.314	-0.209
Aug-01	-0.285	-0.206
Sep-01	-0.302	-0.211
Oct-01	-0.392	-0.263
Nov-01	-0.395	-0.254
Dec-01	-0.393	-0.275
Jan-02	-0.383	-0.272
Feb-02	-0.323	-0.199
Mar-02	-0.268	-0.165
Apr-02	-0.266	-0.125
May-02	-0.244	-0.091
Jun-02	-0.202	-0.058
Jul-02	-0.153	0.004
Aug-02	-0.157	0.019
Sep-02	-0.141	0.028
Oct-02	-0.089	0.053
Nov-02	-0.118	0.050
Dec-02	-0.089	0.081
Jan-03	-0.078	0.068
Feb-03	-0.062	0.065
Mar-03	-0.118	0.075
Apr-03	-0.119	0.019
May-03	-0.149	-0.031
Jun-03	-0.123	-0.042
Jul-03	-0.129	-0.075
Aug-03	-0.098	-0.032
Sep-03	-0.086	-0.028
Oct-03	-0.041	0.007
Nov-03	0.011	0.040
Dec-03	0.072	0.086

Figure 3b. Macro Factors Compared to Individual Macro Series: Second PCA Factor - CPI-U:Total

Data for Figure 3b

Month	PCA Factor	CPI - U:Total
Jan-70	0.216	0.048
Feb-70	0.209	0.061
Mar-70	0.183	0.073
Apr-70	0.152	0.058
May-70	0.152	0.056
Jun-70	0.113	0.055
Jul-70	0.069	0.054
Aug-70	0.050	0.039
Sep-70	0.020	0.039
Oct-70	0.023	0.037
Nov-70	-0.006	0.036
Dec-70	-0.029	0.034
Jan-71	-0.057	0.033
Feb-71	-0.083	0.019
Mar-71	-0.082	-0.007
Apr-71	-0.102	-0.020
May-71	-0.113	-0.034
Jun-71	-0.076	-0.022
Jul-71	-0.059	-0.023
Aug-71	-0.074	-0.024
Sep-71	-0.055	-0.024
Oct-71	-0.079	-0.037
Nov-71	-0.098	-0.050
Dec-71	-0.100	-0.063
Jan-72	-0.070	-0.076
Feb-72	-0.040	-0.077
Mar-72	-0.020	-0.053
Apr-72	-0.002	-0.065
May-72	-0.005	-0.065
Jun-72	-0.003	-0.078
Jul-72	-0.013	-0.091
Aug-72	-0.011	-0.091
Sep-72	0.003	-0.091
Oct-72	0.021	-0.080
Nov-72	0.053	-0.080
Dec-72	0.085	-0.069
Jan-73	0.093	-0.069
Feb-73	0.114	-0.058
Mar-73	0.146	-0.048
Apr-73	0.192	-0.002
May-73	0.232	0.020
Jun-73	0.248	0.031
Jul-73	0.295	0.053
Aug-73	0.294	0.041
Sep-73	0.365	0.118
Oct-73	0.346	0.116
Nov-73	0.388	0.148
Dec-73	0.418	0.157
Jan-74	0.439	0.189
Feb-74	0.466	0.219
Mar-74	0.471	0.237
Apr-74	0.469	0.243
May-74	0.473	0.240
Jun-74	0.488	0.268
Jul-74	0.493	0.275
Aug-74	0.557	0.305
Sep-74	0.544	0.276
Oct-74	0.591	0.323
Nov-74	0.578	0.319
Dec-74	0.552	0.335
Jan-75	0.472	0.330
Feb-75	0.386	0.315
Mar-75	0.288	0.291
Apr-75	0.239	0.257
May-75	0.176	0.245
Jun-75	0.105	0.203
Jul-75	0.055	0.200
Aug-75	0.033	0.216
Sep-75	-0.012	0.174
Oct-75	-0.034	0.141
Nov-75	-0.048	0.130
Dec-75	-0.069	0.117
Jan-76	-0.051	0.106
Feb-76	-0.014	0.085
Mar-76	0.040	0.066
Apr-76	0.052	0.056
May-76	0.109	0.046
Jun-76	0.141	0.063
Jul-76	0.142	0.052
Aug-76	0.134	0.032
Sep-76	0.122	0.040
Oct-76	0.127	0.030
Nov-76	0.120	0.028
Dec-76	0.124	0.009
Jan-77	0.147	0.008
Feb-77	0.173	0.016
Mar-77	0.190	0.057
Apr-77	0.213	0.073
May-77	0.224	0.097
Jun-77	0.224	0.088
Jul-77	0.249	0.086
Aug-77	0.233	0.084
Sep-77	0.241	0.083
Oct-77	0.234	0.073
Nov-77	0.242	0.071
Dec-77	0.255	0.086
Jan-78	0.260	0.085
Feb-78	0.285	0.091
Mar-78	0.263	0.064
Apr-78	0.253	0.071
May-78	0.289	0.076
Jun-78	0.315	0.106
Jul-78	0.334	0.120
Aug-78	0.343	0.133
Sep-78	0.354	0.139
Oct-78	0.366	0.168
Nov-78	0.403	0.188
Dec-78	0.411	0.186
Jan-79	0.422	0.191
Feb-79	0.442	0.203
Mar-79	0.463	0.229
Apr-79	0.463	0.248
May-79	0.467	0.258
Jun-79	0.458	0.268
Jul-79	0.458	0.285
Aug-79	0.481	0.301
Sep-79	0.476	0.319
Oct-79	0.483	0.320
Nov-79	0.475	0.329
Dec-79	0.467	0.352
Jan-80	0.477	0.381
Feb-80	0.486	0.408
Mar-80	0.515	0.420
Apr-80	0.544	0.439
May-80	0.495	0.439
Jun-80	0.439	0.432
Jul-80	0.388	0.425
Aug-80	0.329	0.376
Sep-80	0.334	0.365
Oct-80	0.328	0.360
Nov-80	0.319	0.354
Dec-80	0.333	0.354
Jan-81	0.331	0.341
Feb-81	0.309	0.317
Mar-81	0.264	0.299
Apr-81	0.234	0.264
May-81	0.243	0.243
Jun-81	0.263	0.227
Jul-81	0.305	0.223
Aug-81	0.341	0.271
Sep-81	0.340	0.273
Oct-81	0.331	0.280
Nov-81	0.306	0.249
Dec-81	0.267	0.218
Jan-82	0.225	0.187
Feb-82	0.221	0.157
Mar-82	0.146	0.128
Apr-82	0.082	0.094
May-82	0.047	0.082
Jun-82	0.034	0.096
Jul-82	0.015	0.108
Aug-82	-0.039	0.079
Sep-82	-0.089	0.052
Oct-82	-0.150	0.003
Nov-82	-0.182	0.008
Dec-82	-0.229	-0.018
Jan-83	-0.248	-0.049
Feb-83	-0.274	-0.055
Mar-83	-0.268	-0.066
Apr-83	-0.272	-0.061
May-83	-0.234	-0.041
Jun-83	-0.253	-0.068
Jul-83	-0.263	-0.114
Aug-83	-0.239	-0.120
Sep-83	-0.188	-0.115
Oct-83	-0.125	-0.100
Nov-83	-0.098	-0.101
Dec-83	-0.046	-0.081
Jan-84	-0.005	-0.051
Feb-84	0.032	-0.027
Mar-84	0.073	-0.008
Apr-84	0.130	0.001
May-84	0.135	-0.015
Jun-84	0.152	-0.025
Jul-84	0.154	-0.026
Aug-84	0.147	-0.026
Sep-84	0.135	-0.027
Oct-84	0.107	-0.028
Nov-84	0.101	-0.028
Dec-84	0.084	-0.034
Jan-85	0.061	-0.039
Feb-85	0.024	-0.064
Mar-85	0.007	-0.060
Apr-85	-0.009	-0.051
May-85	-0.037	-0.061
Jun-85	-0.060	-0.061
Jul-85	-0.080	-0.057
Aug-85	-0.090	-0.067
Sep-85	-0.116	-0.072
Oct-85	-0.130	-0.077
Nov-85	-0.119	-0.078
Dec-85	-0.121	-0.064
Jan-86	-0.107	-0.051
Feb-86	-0.117	-0.042
Mar-86	-0.172	-0.079
Apr-86	-0.232	-0.130
May-86	-0.276	-0.157
Jun-86	-0.264	-0.153
Jul-86	-0.262	-0.149
Aug-86	-0.267	-0.153
Sep-86	-0.260	-0.158
Oct-86	-0.252	-0.149
Nov-86	-0.252	-0.158
Dec-86	-0.251	-0.172
Jan-87	-0.283	-0.177
Feb-87	-0.231	-0.168
Mar-87	-0.201	-0.141
Apr-87	-0.137	-0.097
May-87	-0.069	-0.056
Jun-87	-0.050	-0.057
Jul-87	-0.032	-0.053
Aug-87	-0.026	-0.045
Sep-87	0.004	-0.027
Oct-87	0.036	-0.028
Nov-87	0.062	-0.024
Dec-87	0.073	-0.016
Jan-88	0.088	-0.025
Feb-88	0.069	-0.035
Mar-88	0.062	-0.044
Apr-88	0.048	-0.049
May-88	0.078	-0.041
Jun-88	0.054	-0.042
Jul-88	0.071	-0.043
Aug-88	0.097	-0.035
Sep-88	0.078	-0.036
Oct-88	0.063	-0.032
Nov-88	0.036	-0.029
Dec-88	0.032	-0.029
Jan-89	0.049	-0.022
Feb-89	0.062	-0.018
Mar-89	0.091	-0.010
Apr-89	0.102	0.001
May-89	0.078	0.008
Jun-89	0.089	0.019
Jul-89	0.059	0.014
Aug-89	0.022	0.009
Sep-89	-0.009	-0.012
Oct-89	-0.022	-0.020
Nov-89	-0.018	-0.013
Dec-89	-0.022	-0.010
Jan-90	-0.021	-0.011
Feb-90	-0.010	0.016
Mar-90	-0.013	0.019
Apr-90	-0.014	0.017
May-90	-0.044	-0.007
Jun-90	-0.055	-0.024
Jul-90	-0.053	-0.009
Aug-90	-0.029	-0.002
Sep-90	0.019	0.039
Oct-90	0.063	0.061
Nov-90	0.072	0.071
Dec-90	0.035	0.062
Jan-91	0.025	0.065
Feb-91	-0.030	0.037
Mar-91	-0.095	0.021
Apr-91	-0.144	-0.002
May-91	-0.162	-0.003
Jun-91	-0.172	0.008
Jul-91	-0.188	-0.008
Aug-91	-0.218	-0.024
Sep-91	-0.249	-0.051
Oct-91	-0.277	-0.070
Nov-91	-0.314	-0.096
Dec-91	-0.291	-0.086
Jan-92	-0.311	-0.090
Feb-92	-0.322	-0.105
Mar-92	-0.294	-0.098
Apr-92	-0.250	-0.080
May-92	-0.239	-0.080
Jun-92	-0.225	-0.088
Jul-92	-0.216	-0.088
Aug-92	-0.205	-0.081
Sep-92	-0.209	-0.085
Oct-92	-0.220	-0.089
Nov-92	-0.213	-0.076
Dec-92	-0.220	-0.083
Jan-93	-0.216	-0.091
Feb-93	-0.195	-0.077
Mar-93	-0.174	-0.077
Apr-93	-0.170	-0.088
May-93	-0.168	-0.081
Jun-93	-0.161	-0.078
Jul-93	-0.176	-0.089
Aug-93	-0.177	-0.096
Sep-93	-0.180	-0.097
Oct-93	-0.183	-0.100
Nov-93	-0.167	-0.101
Dec-93	-0.165	-0.101
Jan-94	-0.155	-0.098
Feb-94	-0.156	-0.115
Mar-94	-0.152	-0.112
Apr-94	-0.161	-0.106
May-94	-0.154	-0.120
Jun-94	-0.145	-0.123
Jul-94	-0.115	-0.113
Aug-94	-0.095	-0.103
Sep-94	-0.079	-0.094
Oct-94	-0.056	-0.091
Nov-94	-0.067	-0.108
Dec-94	-0.050	-0.108
Jan-95	-0.050	-0.108
Feb-95	-0.024	-0.095
Mar-95	-0.010	-0.096
Apr-95	-0.021	-0.099
May-95	-0.019	-0.083
Jun-95	-0.047	-0.083
Jul-95	-0.061	-0.087
Aug-95	-0.084	-0.097
Sep-95	-0.105	-0.107
Oct-95	-0.116	-0.111
Nov-95	-0.111	-0.101
Dec-95	-0.151	-0.108
Jan-96	-0.150	-0.112
Feb-96	-0.137	-0.099
Mar-96	-0.172	-0.103
Apr-96	-0.165	-0.096
May-96	-0.169	-0.097
Jun-96	-0.151	-0.097
Jul-96	-0.147	-0.098
Aug-96	-0.147	-0.095
Sep-96	-0.143	-0.098
Oct-96	-0.133	-0.089
Nov-96	-0.140	-0.086
Dec-96	-0.116	-0.077
Jan-97	-0.102	-0.071
Feb-97	-0.094	-0.087
Mar-97	-0.103	-0.087
Apr-97	-0.106	-0.100
May-97	-0.127	-0.116
Jun-97	-0.139	-0.126
Jul-97	-0.145	-0.126
Aug-97	-0.158	-0.129
Sep-97	-0.149	-0.123
Oct-97	-0.144	-0.127
Nov-97	-0.135	-0.133
Dec-97	-0.136	-0.143
Jan-98	-0.160	-0.152
Feb-98	-0.183	-0.155
Mar-98	-0.193	-0.164
Apr-98	-0.203	-0.168
May-98	-0.198	-0.165
Jun-98	-0.179	-0.152
Jul-98	-0.181	-0.156
Aug-98	-0.175	-0.150
Sep-98	-0.171	-0.156
Oct-98	-0.201	-0.165
Nov-98	-0.229	-0.162
Dec-98	-0.244	-0.162
Jan-99	-0.261	-0.156
Feb-99	-0.232	-0.153
Mar-99	-0.241	-0.156
Apr-99	-0.235	-0.150
May-99	-0.198	-0.127
Jun-99	-0.208	-0.133
Jul-99	-0.212	-0.136
Aug-99	-0.190	-0.130
Sep-99	-0.186	-0.124
Oct-99	-0.147	-0.107
Nov-99	-0.133	-0.110
Dec-99	-0.119	-0.107
Jan-00	-0.088	-0.105
Feb-00	-0.079	-0.099
Mar-00	-0.043	-0.078
Apr-00	-0.005	-0.052
May-00	-0.031	-0.085
Jun-00	-0.037	-0.083
Jul-00	0.003	-0.054
Aug-00	-0.029	-0.060
Sep-00	-0.054	-0.072
Oct-00	-0.057	-0.067
Nov-00	-0.050	-0.067
Dec-00	-0.047	-0.068
Jan-01	-0.051	-0.068
Feb-01	-0.056	-0.054
Mar-01	-0.076	-0.061
Apr-01	-0.136	-0.093
May-01	-0.162	-0.076
Jun-01	-0.168	-0.059
Jul-01	-0.219	-0.077
Aug-01	-0.262	-0.100
Sep-01	-0.265	-0.100
Oct-01	-0.304	-0.109
Nov-01	-0.369	-0.131
Dec-01	-0.421	-0.145
Jan-02	-0.449	-0.159
Feb-02	-0.489	-0.179
Mar-02	-0.507	-0.182
Apr-02	-0.481	-0.165
May-02	-0.451	-0.157
Jun-02	-0.455	-0.177
Jul-02	-0.439	-0.183
Aug-02	-0.394	-0.163
Sep-02	-0.369	-0.152
Oct-02	-0.356	-0.158
Nov-02	-0.301	-0.136
Dec-02	-0.280	-0.125
Jan-03	-0.270	-0.117
Feb-03	-0.236	-0.109
Mar-03	-0.187	-0.087
Apr-03	-0.179	-0.088
May-03	-0.240	-0.126
Jun-03	-0.274	-0.132
Jul-03	-0.280	-0.132
Aug-03	-0.273	-0.132
Sep-03	-0.292	-0.127
Oct-03	-0.294	-0.124
Nov-03	-0.292	-0.133
Dec-03	-0.296	-0.149

Figure 3c. Macro Factors Compared to Individual Macro Series: Third PCA Factor - M1

Notes: The figure shows time-series plots of the first three macro factors and the main individual macro series within the category to which the factor is most related. The first factor is plotted together with Industrial Production Index: Total Index (R² is 0.88), the second factor is plotted with the Consumer Price Index: All Items (R² is 0.77) and the third factor is plotted with Money Stock: M1 (R² is 0.44). The macro dataset consists of 116 (transformed to ensure stationarity) series and the sample period used is January 1970 - December 2003 (408 monthly observations). The group categories are (1) real output and income, (2) employment and hours, (3) real retail, (4) manufacturing and trade sales, (5) consumption, (6) housing starts and sales, (7) inventories, (8) orders, (9) stock prices, (10) exchange rates, (11) federal funds rate, (12) money and credit quantity aggregates, (13) prices indices, (14) average hourly earnings and (15) miscellaneous.

Data for Figure 3c

Month	PCA Factor	M1
Jan-70	-0.137	-0.107
Feb-70	-0.165	-0.084
Mar-70	-0.143	-0.127
Apr-70	-0.141	-0.128
May-70	-0.137	-0.121
Jun-70	-0.096	-0.112
Jul-70	-0.042	-0.114
Aug-70	-0.020	-0.115
Sep-70	-0.016	-0.070
Oct-70	0.005	-0.035
Nov-70	0.028	-0.029
Dec-70	0.034	-0.027
Jan-71	0.141	-0.018
Feb-71	0.184	-0.049
Mar-71	0.230	0.024
Apr-71	0.242	0.039
May-71	0.281	0.042
Jun-71	0.286	0.075
Jul-71	0.292	0.098
Aug-71	0.303	0.120
Sep-71	0.289	0.090
Oct-71	0.270	0.065
Nov-71	0.275	0.055
Dec-71	0.262	0.049
Jan-72	0.254	0.044
Feb-72	0.274	0.058
Mar-72	0.258	0.061
Apr-72	0.239	0.072
May-72	0.218	0.072
Jun-72	0.207	0.034
Jul-72	0.166	0.015
Aug-72	0.170	0.030
Sep-72	0.197	0.058
Oct-72	0.220	0.085
Nov-72	0.230	0.106
Dec-72	0.232	0.122
Jan-73	0.234	0.167
Feb-73	0.209	0.173
Mar-73	0.142	0.140
Apr-73	0.126	0.088
May-73	0.077	0.080
Jun-73	0.071	0.117
Jul-73	0.062	0.137
Aug-73	0.002	0.106
Sep-73	-0.001	0.067
Oct-73	-0.007	0.024
Nov-73	-0.035	0.008
Dec-73	-0.038	0.018
Jan-74	-0.117	-0.002
Feb-74	-0.121	-0.031
Mar-74	-0.094	-0.016
Apr-74	-0.068	0.020
May-74	-0.037	0.009
Jun-74	-0.062	-0.026
Jul-74	-0.051	-0.044
Aug-74	-0.067	-0.045
Sep-74	-0.071	-0.034
Oct-74	-0.104	-0.022
Nov-74	-0.113	-0.019
Dec-74	-0.132	-0.032
Jan-75	-0.103	-0.059
Feb-75	-0.089	-0.081
Mar-75	-0.032	-0.089
Apr-75	-0.025	-0.090
May-75	0.064	-0.103
Jun-75	0.118	-0.057
Jul-75	0.180	-0.017
Aug-75	0.233	-0.009
Sep-75	0.254	-0.017
Oct-75	0.296	-0.005
Nov-75	0.289	-0.034
Dec-75	0.328	-0.035
Jan-76	0.342	-0.039
Feb-76	0.358	-0.012
Mar-76	0.342	0.010
Apr-76	0.322	0.017
May-76	0.269	0.054
Jun-76	0.221	0.021
Jul-76	0.189	-0.031
Aug-76	0.155	-0.037
Sep-76	0.165	-0.014
Oct-76	0.143	-0.032
Nov-76	0.151	0.013
Dec-76	0.148	0.015
Jan-77	0.176	0.052
Feb-77	0.137	0.063
Mar-77	0.127	0.073
Apr-77	0.168	0.079
May-77	0.153	0.079
Jun-77	0.157	0.077
Jul-77	0.136	0.097
Aug-77	0.142	0.102
Sep-77	0.108	0.105
Oct-77	0.098	0.128
Nov-77	0.111	0.118
Dec-77	0.091	0.125
Jan-78	0.093	0.117
Feb-78	0.067	0.135
Mar-78	0.053	0.098
Apr-78	0.054	0.085
May-78	0.092	0.094
Jun-78	0.092	0.148
Jul-78	0.099	0.151
Aug-78	0.104	0.140
Sep-78	0.091	0.136
Oct-78	0.113	0.139
Nov-78	0.088	0.125
Dec-78	0.078	0.121
Jan-79	0.065	0.113
Feb-79	0.042	0.079
Mar-79	0.011	0.084
Apr-79	0.029	0.094
May-79	-0.003	0.126
Jun-79	0.001	0.075
Jul-79	-0.013	0.097
Aug-79	-0.032	0.138
Sep-79	-0.012	0.130
Oct-79	-0.022	0.100
Nov-79	-0.037	0.104
Dec-79	-0.019	0.075
Jan-80	-0.017	0.061
Feb-80	0.000	0.095
Mar-80	0.010	0.132
Apr-80	-0.063	0.076
May-80	-0.062	-0.059
Jun-80	-0.101	-0.067
Jul-80	-0.022	-0.063
Aug-80	0.057	-0.051
Sep-80	0.135	-0.007
Oct-80	0.196	0.055
Nov-80	0.247	0.087
Dec-80	0.262	0.107
Jan-81	0.205	0.068
Feb-81	0.180	0.050
Mar-81	0.175	0.037
Apr-81	0.200	0.107
May-81	0.222	0.266
Jun-81	0.208	0.221
Jul-81	0.129	0.172
Aug-81	0.077	0.131
Sep-81	0.028	0.065
Oct-81	-0.042	-0.004
Nov-81	-0.090	-0.038
Dec-81	-0.144	-0.026
Jan-82	-0.119	0.064
Feb-82	-0.075	0.097
Mar-82	-0.120	0.046
Apr-82	-0.103	0.007
May-82	-0.099	-0.043
Jun-82	-0.075	-0.017
Jul-82	-0.057	-0.014
Aug-82	-0.024	-0.028
Sep-82	-0.013	0.009
Oct-82	0.041	0.069
Nov-82	0.093	0.134
Dec-82	0.151	0.175
Jan-83	0.187	0.147
Feb-83	0.225	0.105
Mar-83	0.308	0.187
Apr-83	0.316	0.241
May-83	0.323	0.218
Jun-83	0.347	0.291
Jul-83	0.356	0.322
Aug-83	0.370	0.352
Sep-83	0.338	0.342
Oct-83	0.292	0.304
Nov-83	0.264	0.265
Dec-83	0.225	0.207
Jan-84	0.213	0.197
Feb-84	0.154	0.207
Mar-84	0.119	0.156
Apr-84	0.038	0.129
May-84	0.013	0.136
Jun-84	-0.046	0.084
Jul-84	-0.079	0.076
Aug-84	-0.119	0.046
Sep-84	-0.163	0.020
Oct-84	-0.184	0.017
Nov-84	-0.186	-0.020
Dec-84	-0.152	0.000
Jan-85	-0.147	0.012
Feb-85	-0.136	0.024
Mar-85	-0.107	0.060
Apr-85	-0.100	0.049
May-85	-0.083	0.049
Jun-85	-0.067	0.075
Jul-85	-0.026	0.105
Aug-85	-0.008	0.156
Sep-85	0.035	0.214
Oct-85	0.074	0.255
Nov-85	0.077	0.286
Dec-85	0.069	0.284
Jan-86	0.091	0.310
Feb-86	0.100	0.276
Mar-86	0.092	0.247
Apr-86	0.088	0.287
May-86	0.107	0.310
Jun-86	0.124	0.354
Jul-86	0.127	0.358
Aug-86	0.121	0.373
Sep-86	0.135	0.375
Oct-86	0.136	0.377
Nov-86	0.127	0.396
Dec-86	0.117	0.437
Jan-87	0.161	0.506
Feb-87	0.132	0.531
Mar-87	0.144	0.506
Apr-87	0.163	0.461
May-87	0.144	0.473
Jun-87	0.119	0.399
Jul-87	0.090	0.314
Aug-87	0.074	0.243
Sep-87	0.083	0.195
Oct-87	0.042	0.148
Nov-87	0.021	0.150
Dec-87	0.006	0.058
Jan-88	-0.069	-0.095
Feb-88	-0.081	-0.093
Mar-88	-0.094	-0.087
Apr-88	-0.091	-0.082
May-88	-0.107	-0.110
Jun-88	-0.099	-0.098
Jul-88	-0.093	-0.037
Aug-88	-0.103	-0.019
Sep-88	-0.113	-0.020
Oct-88	-0.098	-0.033
Nov-88	-0.081	-0.091
Dec-88	-0.077	-0.065
Jan-89	-0.063	-0.032
Feb-89	-0.067	-0.077
Mar-89	-0.127	-0.099
Apr-89	-0.150	-0.130
May-89	-0.140	-0.195
Jun-89	-0.193	-0.246
Jul-89	-0.188	-0.299
Aug-89	-0.187	-0.289
Sep-89	-0.197	-0.292
Oct-89	-0.185	-0.285
Nov-89	-0.185	-0.247
Dec-89	-0.173	-0.246
Jan-90	-0.168	-0.228
Feb-90	-0.128	-0.209
Mar-90	-0.099	-0.180
Apr-90	-0.113	-0.154
May-90	-0.101	-0.098
Jun-90	-0.082	-0.081
Jul-90	-0.077	-0.045
Aug-90	-0.093	-0.066
Sep-90	-0.090	-0.040
Oct-90	-0.099	-0.023
Nov-90	-0.108	-0.063
Dec-90	-0.109	-0.058
Jan-91	-0.159	-0.071
Feb-91	-0.158	-0.072
Mar-91	-0.129	-0.056
Apr-91	-0.112	-0.042
May-91	-0.087	-0.048
Jun-91	-0.054	0.000
Jul-91	-0.027	0.021
Aug-91	-0.006	0.037
Sep-91	0.003	0.032
Oct-91	0.007	0.027
Nov-91	0.025	0.074
Dec-91	0.022	0.111
Jan-92	0.029	0.148
Feb-92	0.035	0.208
Mar-92	0.077	0.255
Apr-92	0.084	0.281
May-92	0.063	0.297
Jun-92	0.075	0.292
Jul-92	0.052	0.264
Aug-92	0.049	0.286
Sep-92	0.045	0.311
Oct-92	0.030	0.359
Nov-92	0.044	0.394
Dec-92	0.049	0.404
Jan-93	0.076	0.394
Feb-93	0.045	0.345
Mar-93	0.009	0.281
Apr-93	-0.039	0.244
May-93	-0.058	0.248
Jun-93	-0.050	0.302
Jul-93	-0.054	0.323
Aug-93	-0.063	0.318
Sep-93	-0.049	0.309
Oct-93	-0.047	0.286
Nov-93	-0.049	0.245
Dec-93	-0.048	0.232
Jan-94	-0.045	0.215
Feb-94	-0.065	0.199
Mar-94	-0.023	0.203
Apr-94	-0.018	0.197
May-94	-0.042	0.155
Jun-94	-0.054	0.079
Jul-94	-0.063	0.047
Aug-94	-0.075	0.023
Sep-94	-0.078	-0.021
Oct-94	-0.095	-0.062
Nov-94	-0.111	-0.104
Dec-94	-0.137	-0.152
Jan-95	-0.168	-0.178
Feb-95	-0.188	-0.184
Mar-95	-0.221	-0.221
Apr-95	-0.240	-0.241
May-95	-0.233	-0.230
Jun-95	-0.231	-0.260
Jul-95	-0.255	-0.275
Aug-95	-0.226	-0.287
Sep-95	-0.240	-0.288
Oct-95	-0.242	-0.313
Nov-95	-0.267	-0.327
Dec-95	-0.238	-0.340
Jan-96	-0.240	-0.369
Feb-96	-0.210	-0.390
Mar-96	-0.233	-0.392
Apr-96	-0.215	-0.373
May-96	-0.175	-0.376
Jun-96	-0.188	-0.391
Jul-96	-0.174	-0.393
Aug-96	-0.183	-0.414
Sep-96	-0.197	-0.463
Oct-96	-0.192	-0.469
Nov-96	-0.187	-0.489
Dec-96	-0.184	-0.498
Jan-97	-0.181	-0.481
Feb-97	-0.183	-0.455
Mar-97	-0.175	-0.450
Apr-97	-0.215	-0.501
May-97	-0.227	-0.548
Jun-97	-0.219	-0.510
Jul-97	-0.224	-0.495
Aug-97	-0.187	-0.474
Sep-97	-0.193	-0.394
Oct-97	-0.195	-0.397
Nov-97	-0.181	-0.359
Dec-97	-0.186	-0.326
Jan-98	-0.184	-0.298
Feb-98	-0.187	-0.300
Mar-98	-0.182	-0.266
Apr-98	-0.167	-0.238
May-98	-0.172	-0.202
Jun-98	-0.197	-0.204
Jul-98	-0.210	-0.216
Aug-98	-0.221	-0.225
Sep-98	-0.216	-0.265
Oct-98	-0.205	-0.210
Nov-98	-0.177	-0.180
Dec-98	-0.167	-0.157
Jan-99	-0.152	-0.159
Feb-99	-0.149	-0.166
Mar-99	-0.138	-0.181
Apr-99	-0.131	-0.172
May-99	-0.134	-0.156
Jun-99	-0.101	-0.157
Jul-99	-0.066	-0.161
Aug-99	-0.083	-0.163
Sep-99	-0.085	-0.157
Oct-99	-0.094	-0.186
Nov-99	-0.099	-0.193
Dec-99	-0.099	-0.190
Jan-00	-0.090	-0.143
Feb-00	-0.093	-0.157
Mar-00	-0.134	-0.213
Apr-00	-0.127	-0.215
May-00	-0.152	-0.219
Jun-00	-0.162	-0.249
Jul-00	-0.202	-0.242
Aug-00	-0.188	-0.243
Sep-00	-0.205	-0.248
Oct-00	-0.192	-0.257
Nov-00	-0.222	-0.278
Dec-00	-0.237	-0.345
Jan-01	-0.265	-0.429
Feb-01	-0.252	-0.379
Mar-01	-0.224	-0.308
Apr-01	-0.209	-0.272
May-01	-0.187	-0.273
Jun-01	-0.182	-0.219
Jul-01	-0.129	-0.181
Aug-01	-0.098	-0.123
Sep-01	-0.060	-0.065
Oct-01	0.031	0.166
Nov-01	-0.010	0.007
Dec-01	0.027	0.051
Jan-02	0.038	0.124
Feb-02	0.088	0.113
Mar-02	0.132	0.103
Apr-02	0.144	0.081
May-02	0.140	0.023
Jun-02	0.151	0.019
Jul-02	0.130	0.002
Aug-02	0.097	-0.024
Sep-02	0.067	-0.123
Oct-02	0.037	-0.310
Nov-02	0.019	-0.106
Dec-02	0.039	-0.109
Jan-03	0.071	-0.110
Feb-03	0.042	-0.120
Mar-03	0.015	-0.070
Apr-03	-0.010	-0.064
May-03	-0.017	0.002
Jun-03	0.027	0.031
Jul-03	0.049	0.065
Aug-03	0.063	0.058
Sep-03	0.106	0.139
Oct-03	0.117	0.111
Nov-03	0.099	0.069
Dec-03	0.106	0.056

Figure 4a. Trace Cumulative Squared Prediction Errors, 1-Month Forecast Horizon, 1989 - 2003: Yield-Only Models

Data for Figure 4a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-89	-0.012	0.252	0.142	0.301	0.709	-0.073
Feb-89	0.066	0.248	-0.791	-0.355	-0.226	-0.233
Mar-89	0.042	0.229	-1.236	-0.260	0.960	-0.771
Apr-89	0.161	0.680	0.052	0.529	1.981	-0.272
May-89	0.086	0.452	0.369	0.605	2.454	-0.624
Jun-89	-0.023	-0.720	0.526	-0.003	2.245	-1.680
Jul-89	-0.264	-2.455	-0.535	-1.472	1.913	-3.419
Aug-89	0.223	-0.117	1.712	0.936	3.667	-1.066
Sep-89	0.259	-0.122	1.719	0.996	3.605	-1.065
Oct-89	0.048	-0.734	1.772	0.702	4.208	-1.679
Nov-89	-0.020	-1.200	1.491	0.245	3.949	-2.077
Dec-89	0.058	-1.076	1.504	0.281	3.903	-2.015
Jan-90	0.335	-0.487	1.786	0.749	4.325	-1.556
Feb-90	0.380	-0.450	1.890	0.893	4.295	-1.552
Mar-90	0.444	-0.367	2.022	1.067	4.317	-1.447
Apr-90	0.574	0.003	2.107	1.270	3.988	-1.086
May-90	0.493	0.137	2.562	1.587	4.595	-0.978
Jun-90	0.409	-0.063	2.514	1.491	4.553	-1.247
Jul-90	0.298	-0.607	2.097	1.001	3.738	-1.838
Aug-90	0.478	0.207	2.843	1.758	4.153	-1.130
Sep-90	0.421	-0.297	2.124	1.161	3.711	-1.691
Oct-90	0.311	-0.999	1.065	0.271	2.993	-2.318
Nov-90	0.132	-1.969	-0.494	-1.045	1.446	-3.293
Dec-90	-0.182	-2.771	-1.954	-2.293	-1.395	-4.127
Jan-91	-0.343	-3.076	-2.553	-2.678	-2.243	-4.493
Feb-91	-0.487	-3.384	-3.295	-3.135	-2.777	-4.929
Mar-91	-0.566	-3.457	-3.533	-3.197	-3.032	-5.212
Apr-91	-0.834	-3.967	-4.466	-3.712	-3.180	-5.953
May-91	-0.847	-4.029	-4.753	-3.819	-3.289	-6.206
Jun-91	-0.752	-3.807	-4.582	-3.624	-3.241	-6.252
Jul-91	-0.867	-4.171	-5.393	-4.043	-3.670	-6.701
Aug-91	-1.356	-5.537	-7.974	-5.605	-5.532	-8.040
Sep-91	-1.870	-7.246	-11.105	-7.518	-7.919	-9.637
Oct-91	-2.273	-8.398	-13.313	-8.798	-9.882	-10.910
Nov-91	-2.963	-10.170	-17.033	-10.817	-12.127	-12.518
Dec-91	-4.105	-13.185	-23.633	-14.425	-12.044	-15.124
Jan-92	-3.598	-11.976	-21.894	-13.028	-11.077	-14.301
Feb-92	-3.528	-12.040	-22.726	-13.135	-11.570	-14.540
Mar-92	-3.153	-11.295	-21.896	-12.438	-10.797	-14.288
Apr-92	-3.644	-11.895	-23.566	-12.922	-11.471	-15.290
May-92	-3.986	-12.609	-25.823	-13.709	-12.398	-15.968
Jun-92	-4.494	-13.737	-28.677	-14.807	-14.043	-16.959
Jul-92	-5.469	-15.783	-33.733	-16.890	-17.018	-18.773
Aug-92	-5.846	-16.828	-36.377	-17.863	-18.564	-19.506
Sep-92	-6.710	-18.762	-41.086	-19.652	-19.360	-20.965
Oct-92	-5.885	-17.198	-38.486	-17.927	-17.664	-19.661
Nov-92	-5.370	-16.500	-37.440	-17.206	-16.798	-19.236
Dec-92	-5.888	-17.157	-39.600	-17.812	-17.856	-20.028
Jan-93	-6.553	-18.133	-42.425	-18.613	-19.294	-20.764
Feb-93	-7.084	-19.288	-45.383	-19.637	-20.646	-21.522
Mar-93	-7.139	-19.531	-46.377	-19.793	-21.215	-21.662
Apr-93	-7.383	-20.180	-48.048	-20.324	-22.029	-22.108
May-93	-7.036	-19.744	-47.624	-19.809	-21.579	-21.660
Jun-93	-7.578	-20.760	-50.111	-20.705	-22.813	-22.430
Jul-93	-7.564	-20.800	-50.498	-20.713	-23.082	-22.525
Aug-93	-8.075	-21.646	-52.421	-21.417	-23.593	-23.150
Sep-93	-8.246	-21.977	-53.214	-21.679	-24.189	-23.456
Oct-93	-8.179	-21.972	-53.405	-21.663	-24.297	-23.464
Nov-93	-7.786	-21.468	-52.679	-21.255	-24.148	-23.066
Dec-93	-7.931	-21.717	-53.368	-21.465	-24.596	-23.326
Jan-94	-8.263	-22.187	-54.527	-21.836	-25.093	-23.741
Feb-94	-7.371	-21.066	-52.546	-20.885	-24.120	-22.926
Mar-94	-6.656	-20.468	-51.036	-20.405	-23.853	-22.669
Apr-94	-6.093	-20.178	-50.010	-20.153	-23.832	-22.625
May-94	-5.827	-20.152	-49.762	-20.193	-23.828	-22.711
Jun-94	-5.753	-20.476	-49.898	-20.598	-24.532	-23.183
Jul-94	-5.877	-20.234	-50.014	-20.415	-24.430	-22.998
Aug-94	-5.671	-20.091	-49.749	-20.250	-24.210	-22.949
Sep-94	-5.272	-20.076	-49.305	-20.292	-24.451	-23.066
Oct-94	-5.084	-20.200	-49.257	-20.486	-24.732	-23.268
Nov-94	-4.684	-20.144	-48.940	-20.418	-24.240	-23.311
Dec-94	-4.685	-20.486	-49.469	-21.019	-24.962	-23.755
Jan-95	-4.705	-19.483	-48.657	-20.110	-24.133	-22.813
Feb-95	-4.958	-19.223	-48.283	-19.894	-23.835	-22.635
Mar-95	-4.951	-19.216	-48.221	-19.823	-23.791	-22.664
Apr-95	-5.093	-19.422	-48.345	-19.976	-23.803	-22.914
May-95	-5.663	-20.354	-49.147	-20.823	-24.071	-23.869
Jun-95	-5.835	-20.793	-49.490	-21.250	-24.660	-24.254
Jul-95	-5.691	-20.568	-49.296	-21.041	-24.591	-24.034
Aug-95	-5.838	-20.998	-49.663	-21.387	-24.759	-24.440
Sep-95	-5.931	-21.284	-49.865	-21.608	-24.897	-24.738
Oct-95	-6.145	-21.676	-50.174	-22.001	-25.207	-25.148
Nov-95	-6.407	-22.273	-50.594	-22.473	-25.572	-25.782
Dec-95	-6.788	-23.022	-51.186	-23.254	-26.548	-26.435
Jan-96	-6.912	-23.214	-51.303	-23.394	-26.932	-26.600
Feb-96	-6.433	-22.060	-50.173	-22.325	-26.205	-25.439
Mar-96	-6.106	-21.566	-49.552	-21.778	-25.908	-24.996
Apr-96	-5.935	-21.222	-49.167	-21.473	-25.788	-24.663
May-96	-5.767	-21.143	-48.983	-21.348	-25.820	-24.642
Jun-96	-5.918	-21.245	-49.090	-21.419	-25.732	-24.804
Jul-96	-5.807	-21.167	-49.025	-21.347	-25.691	-24.781
Aug-96	-5.727	-21.187	-48.969	-21.338	-25.791	-24.838
Sep-96	-5.964	-21.421	-49.163	-21.498	-25.703	-25.129
Oct-96	-6.258	-21.632	-49.421	-21.641	-25.609	-25.394
Nov-96	-6.494	-22.000	-49.771	-21.935	-25.825	-25.804
Dec-96	-6.230	-21.618	-49.432	-21.619	-25.628	-25.434
Jan-97	-6.209	-21.632	-49.416	-21.610	-25.664	-25.486
Feb-97	-6.115	-21.591	-49.305	-21.510	-25.625	-25.522
Mar-97	-5.813	-21.430	-49.122	-21.348	-25.682	-25.403
Apr-97	-5.971	-21.527	-49.139	-21.387	-25.527	-25.569
May-97	-6.085	-21.634	-49.215	-21.537	-25.662	-25.686
Jun-97	-6.183	-21.609	-49.102	-21.401	-25.553	-25.743
Jul-97	-6.507	-21.874	-49.284	-21.524	-25.399	-26.052
Aug-97	-6.290	-21.623	-49.096	-21.317	-25.292	-25.755
Sep-97	-6.534	-21.895	-49.218	-21.539	-25.342	-26.058
Oct-97	-6.718	-21.971	-49.230	-21.541	-25.262	-26.208
Nov-97	-6.638	-21.943	-49.195	-21.462	-25.201	-26.259
Dec-97	-6.759	-22.099	-49.217	-21.535	-25.218	-26.492
Jan-98	-7.077	-22.582	-49.321	-21.900	-25.524	-26.988
Feb-98	-6.920	-22.408	-49.182	-21.687	-25.372	-26.884
Mar-98	-6.916	-22.537	-49.149	-21.687	-25.388	-26.964
Apr-98	-7.004	-22.643	-49.055	-21.761	-25.309	-27.016
May-98	-7.096	-22.752	-49.138	-21.922	-25.550	-27.183
Jun-98	-7.146	-22.701	-49.031	-21.778	-25.514	-27.194
Jul-98	-7.165	-22.743	-49.040	-21.849	-25.617	-27.229
Aug-98	-7.718	-23.140	-48.846	-22.099	-25.804	-27.693
Sep-98	-8.519	-24.464	-49.392	-23.289	-27.160	-28.954
Oct-98	-8.532	-24.483	-49.481	-23.438	-27.610	-28.935
Nov-98	-8.246	-24.101	-49.240	-23.084	-27.154	-28.695
Dec-98	-8.305	-24.277	-49.272	-23.179	-27.333	-28.886
Jan-99	-8.389	-24.473	-49.298	-23.258	-27.451	-29.064
Feb-99	-7.729	-23.498	-48.824	-22.491	-26.989	-28.141
Mar-99	-7.882	-23.804	-48.873	-22.641	-27.049	-28.400
Apr-99	-7.851	-23.811	-48.802	-22.577	-27.034	-28.479
May-99	-7.554	-23.587	-48.591	-22.377	-27.004	-28.372
Jun-99	-7.447	-23.523	-48.611	-22.361	-27.000	-28.371
Jul-99	-7.381	-23.634	-48.642	-22.437	-27.129	-28.522
Aug-99	-7.265	-23.608	-48.759	-22.506	-27.296	-28.572
Sep-99	-7.393	-23.721	-48.767	-22.567	-27.472	-28.721
Oct-99	-7.278	-23.705	-48.885	-22.661	-27.590	-28.777
Nov-99	-7.077	-23.583	-49.069	-22.657	-27.401	-28.702
Dec-99	-6.895	-23.552	-49.226	-22.688	-27.406	-28.680
Jan-00	-6.695	-23.507	-49.295	-22.581	-27.290	-28.700
Feb-00	-6.733	-23.540	-49.232	-22.497	-27.203	-28.802
Mar-00	-6.829	-23.452	-49.011	-22.247	-27.024	-28.878
Apr-00	-6.764	-23.580	-49.237	-22.385	-27.160	-28.904
May-00	-6.836	-23.888	-49.506	-22.916	-27.702	-29.144
Jun-00	-6.831	-22.712	-48.896	-21.824	-26.357	-28.094
Jul-00	-6.808	-22.574	-49.054	-21.652	-26.056	-28.087
Aug-00	-6.941	-22.894	-48.995	-21.799	-26.134	-28.443
Sep-00	-7.000	-22.923	-48.900	-21.881	-26.260	-28.479
Oct-00	-7.033	-23.076	-49.032	-22.025	-26.328	-28.810
Nov-00	-7.274	-23.824	-49.199	-22.683	-27.083	-29.666
Dec-00	-7.631	-24.917	-49.567	-23.723	-28.385	-30.745
Jan-01	-8.032	-25.629	-49.771	-24.354	-29.557	-31.045
Feb-01	-8.228	-26.342	-50.358	-24.920	-29.980	-31.739
Mar-01	-8.540	-26.866	-50.914	-25.324	-29.573	-32.004
Apr-01	-8.521	-26.213	-50.373	-24.712	-28.952	-31.333
May-01	-8.727	-26.413	-50.729	-24.842	-29.258	-31.633
Jun-01	-8.721	-26.423	-50.797	-24.839	-29.251	-31.797
Jul-01	-9.130	-27.093	-51.962	-25.376	-29.727	-32.496
Aug-01	-9.439	-27.776	-53.120	-25.952	-30.200	-33.211
Sep-01	-10.503	-29.278	-55.612	-27.048	-31.646	-34.570
Oct-01	-11.222	-30.665	-58.410	-28.186	-33.081	-35.849
Nov-01	-10.988	-29.455	-57.085	-27.141	-31.947	-35.273
Dec-01	-10.851	-29.219	-56.765	-26.989	-31.712	-35.714
Jan-02	-10.815	-29.199	-57.031	-27.021	-31.744	-36.147
Feb-02	-11.011	-29.459	-57.927	-27.212	-31.968	-36.738
Mar-02	-10.448	-28.742	-56.278	-26.765	-31.234	-36.916
Apr-02	-10.908	-28.980	-57.431	-26.837	-31.328	-37.562
May-02	-11.062	-29.152	-58.079	-26.929	-31.438	-38.029
Jun-02	-11.417	-29.633	-59.488	-27.310	-31.774	-38.698
Jul-02	-11.915	-30.569	-61.813	-28.006	-32.534	-39.302
Aug-02	-12.241	-31.732	-64.202	-28.967	-33.578	-40.093
Sep-02	-12.868	-33.628	-67.680	-30.456	-35.752	-41.325
Oct-02	-12.876	-33.547	-67.985	-30.308	-36.022	-41.129
Nov-02	-12.688	-32.467	-67.032	-29.301	-35.532	-40.350
Dec-02	-13.237	-33.831	-70.029	-30.353	-36.882	-41.102
Jan-03	-13.146	-33.637	-70.070	-30.098	-36.835	-40.929
Feb-03	-13.415	-34.713	-72.191	-30.893	-37.773	-41.533
Mar-03	-13.470	-34.865	-72.826	-30.922	-38.117	-41.568
Apr-03	-13.512	-35.153	-73.604	-31.051	-38.436	-41.705
May-03	-13.886	-36.742	-76.448	-32.234	-39.904	-42.581
Jun-03	-14.018	-36.855	-77.160	-32.283	-40.628	-42.547
Jul-03	-13.422	-35.173	-74.460	-30.898	-39.577	-41.419
Aug-03	-13.332	-35.017	-74.609	-30.723	-39.475	-41.386
Sep-03	-13.887	-36.301	-77.809	-31.667	-40.789	-42.043
Oct-03	-13.595	-35.543	-76.745	-30.983	-40.139	-41.579
Nov-03	-13.540	-35.452	-76.917	-30.859	-40.093	-41.580
Dec-03	-13.738	-35.802	-78.051	-31.102	-40.451	-41.839

Figure 4b. Trace Cumulative Squared Prediction Errors, 1-Month Forecast Horizon, 1989 - 2003: Macro Models

Data for Figure 4b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-89	0.158	0.238	-0.161	0.026	0.675	0.337
Feb-89	0.399	-0.069	-1.746	-1.401	-0.614	0.321
Mar-89	0.543	-0.622	-2.925	-2.143	0.218	-0.167
Apr-89	0.684	0.530	-1.266	-0.674	1.628	0.804
May-89	0.805	0.734	-0.770	-0.219	2.225	1.060
Jun-89	0.854	1.030	0.265	0.662	2.735	0.995
Jul-89	1.052	0.529	-0.179	0.315	2.778	0.205
Aug-89	-0.378	0.628	1.321	1.603	4.015	3.363
Sep-89	-0.491	0.297	0.970	1.275	3.813	3.380
Oct-89	-0.367	0.876	1.938	2.278	4.500	3.395
Nov-89	-0.356	1.034	2.206	2.551	4.570	2.618
Dec-89	-0.448	0.817	1.827	2.122	4.440	2.508
Jan-90	-0.826	0.092	0.833	1.033	4.165	1.732
Feb-90	-0.991	-0.227	0.507	0.724	4.005	1.551
Mar-90	-1.228	-0.541	0.151	0.372	3.686	1.177
Apr-90	-1.089	-0.348	-0.505	-0.281	2.887	1.330
May-90	-1.140	0.084	0.504	0.701	3.864	2.358
Jun-90	-0.913	0.252	0.676	0.914	4.010	2.373
Jul-90	-0.962	0.171	0.839	1.118	3.953	1.835
Aug-90	-0.928	0.844	1.260	1.505	4.166	2.784
Sep-90	-0.792	0.562	0.932	1.217	3.999	2.760
Oct-90	-0.607	0.017	0.159	0.534	3.616	1.985
Nov-90	-0.468	-0.905	-1.236	-0.650	2.553	1.043
Dec-90	0.076	-0.893	-2.371	-1.406	0.564	0.443
Jan-91	0.266	-0.808	-2.726	-1.557	-0.032	0.568
Feb-91	0.356	-0.663	-3.141	-1.723	-0.386	0.390
Mar-91	0.219	-0.643	-3.108	-1.606	-0.404	0.488
Apr-91	0.389	-0.695	-3.328	-1.610	-0.394	0.565
May-91	0.271	-0.746	-3.359	-1.648	-0.472	0.421
Jun-91	0.270	-0.526	-3.153	-1.522	-0.412	0.450
Jul-91	0.275	-0.943	-3.469	-1.739	-0.547	0.405
Aug-91	0.324	-2.227	-4.755	-2.645	-1.604	-0.366
Sep-91	0.441	-3.684	-6.458	-3.881	-3.162	-3.179
Oct-91	0.739	-3.989	-7.280	-4.375	-4.367	-3.449
Nov-91	1.090	-4.858	-8.967	-5.460	-6.355	-4.944
Dec-91	2.416	-6.082	-12.437	-8.016	-9.480	-8.505
Jan-92	1.948	-5.096	-10.919	-6.825	-8.617	-6.829
Feb-92	1.494	-5.217	-11.078	-6.887	-8.584	-7.334
Mar-92	1.022	-4.683	-10.341	-6.308	-7.921	-6.610
Apr-92	0.868	-5.521	-11.034	-6.648	-8.117	-6.668
May-92	0.909	-6.575	-12.467	-7.665	-8.671	-7.791
Jun-92	1.341	-7.119	-14.225	-8.874	-9.909	-8.862
Jul-92	2.032	-8.685	-17.722	-11.274	-12.556	-10.701
Aug-92	2.205	-9.157	-19.336	-12.254	-13.780	-12.506
Sep-92	2.876	-10.341	-22.569	-14.254	-16.635	-15.414
Oct-92	2.436	-8.650	-20.210	-12.357	-15.054	-13.193
Nov-92	1.861	-8.182	-19.232	-11.623	-14.248	-12.683
Dec-92	1.415	-9.634	-20.455	-12.247	-15.196	-13.146
Jan-93	1.263	-10.987	-22.077	-13.090	-16.501	-14.219
Feb-93	0.765	-13.104	-24.041	-14.253	-17.936	-17.076
Mar-93	0.740	-13.252	-24.485	-14.389	-18.434	-18.164
Apr-93	0.722	-13.480	-25.393	-14.854	-19.053	-19.401
May-93	-0.587	-13.817	-24.814	-14.370	-18.614	-19.254
Jun-93	-0.108	-13.963	-25.816	-14.786	-19.346	-20.061
Jul-93	-0.157	-13.949	-25.796	-14.759	-19.423	-20.341
Aug-93	0.009	-14.170	-26.202	-14.756	-19.736	-20.891
Sep-93	0.008	-14.218	-26.260	-14.751	-19.995	-21.254
Oct-93	-0.003	-14.248	-26.283	-14.876	-20.076	-21.600
Nov-93	-0.101	-14.230	-26.279	-15.204	-20.301	-21.707
Dec-93	-0.117	-14.291	-26.363	-15.223	-20.518	-21.867
Jan-94	-0.061	-14.349	-26.545	-15.186	-20.582	-21.889
Feb-94	0.141	-13.897	-26.043	-15.440	-20.557	-22.502
Mar-94	-0.210	-14.428	-26.131	-16.157	-21.155	-24.237
Apr-94	0.138	-14.231	-26.077	-16.564	-21.599	-25.430
May-94	0.556	-14.088	-26.434	-17.109	-21.947	-27.197
Jun-94	0.422	-14.881	-27.085	-17.907	-22.844	-29.181
Jul-94	0.504	-14.486	-26.792	-17.565	-22.505	-29.200
Aug-94	0.534	-14.677	-26.945	-17.810	-22.644	-30.487
Sep-94	0.406	-15.444	-27.622	-18.705	-23.823	-33.131
Oct-94	0.556	-15.718	-28.132	-19.330	-24.483	-33.942
Nov-94	0.892	-15.932	-28.646	-19.976	-24.703	-35.446
Dec-94	0.875	-16.713	-29.720	-21.035	-25.680	-37.724
Jan-95	1.007	-15.694	-28.966	-20.086	-24.440	-38.237
Feb-95	1.453	-14.434	-27.726	-18.920	-23.226	-36.742
Mar-95	1.446	-14.551	-27.912	-19.040	-23.310	-37.402
Apr-95	1.529	-14.407	-27.703	-18.822	-23.058	-37.271
May-95	2.444	-13.264	-26.539	-17.752	-21.763	-36.389
Jun-95	2.458	-13.183	-26.361	-17.586	-21.780	-36.260
Jul-95	2.384	-13.257	-26.738	-17.925	-22.037	-36.829
Aug-95	2.403	-13.323	-26.691	-17.884	-21.916	-36.967
Sep-95	2.393	-13.385	-26.766	-17.947	-21.918	-37.511
Oct-95	2.334	-13.301	-26.617	-17.777	-21.742	-37.404
Nov-95	2.415	-13.181	-26.473	-17.565	-21.406	-37.217
Dec-95	2.787	-12.548	-25.784	-16.939	-21.029	-36.590
Jan-96	2.825	-12.442	-25.814	-16.871	-20.839	-36.565
Feb-96	2.910	-11.991	-26.099	-17.298	-21.114	-36.119
Mar-96	2.820	-12.180	-26.388	-17.720	-21.706	-36.442
Apr-96	2.826	-12.144	-26.757	-18.118	-22.166	-36.856
May-96	2.736	-12.580	-27.386	-18.755	-22.926	-37.882
Jun-96	2.568	-12.540	-27.206	-18.568	-22.729	-37.940
Jul-96	2.682	-12.594	-27.691	-19.024	-23.127	-39.069
Aug-96	2.649	-12.903	-28.146	-19.448	-23.645	-39.886
Sep-96	2.748	-12.618	-27.726	-19.042	-23.168	-39.561
Oct-96	2.998	-12.088	-27.201	-18.481	-22.579	-39.022
Nov-96	3.105	-11.924	-27.013	-18.274	-22.371	-39.317
Dec-96	3.065	-12.197	-27.664	-18.896	-22.711	-39.585
Jan-97	3.072	-12.220	-27.866	-19.082	-22.871	-39.924
Feb-97	3.067	-12.404	-28.113	-19.334	-23.218	-40.439
Mar-97	3.120	-12.844	-28.955	-20.160	-24.131	-41.837
Apr-97	3.143	-12.658	-28.683	-19.897	-23.832	-41.810
May-97	3.176	-12.606	-28.664	-19.888	-23.817	-42.114
Jun-97	3.282	-12.474	-28.518	-19.680	-23.541	-42.220
Jul-97	3.515	-11.929	-27.797	-18.969	-22.915	-41.038
Aug-97	3.335	-12.405	-28.737	-19.743	-23.470	-41.699
Sep-97	3.290	-12.208	-28.338	-19.392	-23.107	-41.422
Oct-97	3.206	-11.988	-28.134	-19.109	-22.764	-41.155
Nov-97	3.192	-12.282	-28.710	-19.534	-23.017	-41.743
Dec-97	3.171	-12.216	-28.753	-19.470	-22.900	-41.932
Jan-98	3.076	-11.957	-28.202	-18.967	-22.490	-41.315
Feb-98	2.925	-12.371	-28.851	-19.417	-22.696	-41.698
Mar-98	2.892	-12.478	-29.254	-19.646	-22.787	-42.016
Apr-98	2.911	-12.394	-29.228	-19.578	-22.648	-42.012
May-98	2.938	-12.483	-29.527	-19.757	-22.737	-42.239
Jun-98	2.962	-12.390	-29.794	-19.799	-22.534	-42.209
Jul-98	2.941	-12.571	-30.237	-20.088	-22.701	-42.735
Aug-98	3.817	-10.949	-28.741	-18.761	-21.655	-40.783
Sep-98	4.431	-9.815	-27.321	-17.631	-21.200	-39.356
Oct-98	4.389	-9.964	-27.785	-18.011	-21.434	-39.729
Nov-98	4.145	-10.532	-28.505	-18.619	-21.494	-40.450
Dec-98	4.138	-10.563	-28.717	-18.760	-21.543	-40.660
Jan-99	4.134	-10.580	-28.957	-18.882	-21.532	-40.885
Feb-99	4.013	-11.220	-30.839	-20.311	-22.322	-42.051
Mar-99	3.928	-11.208	-30.799	-20.226	-22.276	-42.038
Apr-99	3.849	-11.388	-31.051	-20.389	-22.611	-42.337
May-99	3.815	-11.742	-31.941	-21.102	-23.182	-43.478
Jun-99	3.744	-12.101	-32.543	-21.582	-23.517	-44.160
Jul-99	3.712	-12.437	-33.042	-21.993	-23.771	-44.716
Aug-99	3.875	-12.468	-33.689	-22.496	-24.164	-45.089
Sep-99	3.776	-12.424	-33.629	-22.427	-24.185	-45.052
Oct-99	3.585	-13.034	-34.248	-22.925	-24.578	-45.904
Nov-99	3.643	-13.417	-35.034	-23.514	-24.642	-46.311
Dec-99	3.554	-13.992	-35.782	-24.073	-24.953	-46.810
Jan-00	3.671	-14.273	-36.404	-24.494	-25.179	-47.364
Feb-00	3.635	-14.272	-36.382	-24.409	-25.119	-47.398
Mar-00	3.633	-14.065	-36.098	-24.072	-24.925	-47.172
Apr-00	3.634	-14.408	-36.608	-24.458	-25.119	-47.375
May-00	3.607	-14.613	-36.948	-24.899	-25.473	-47.538
Jun-00	3.748	-13.646	-36.450	-24.024	-24.037	-46.712
Jul-00	3.701	-13.856	-36.914	-24.195	-23.874	-46.972
Aug-00	3.667	-13.896	-36.777	-24.080	-23.784	-46.993
Sep-00	3.757	-13.688	-36.657	-23.952	-23.677	-46.836
Oct-00	3.748	-13.835	-36.945	-24.158	-23.678	-47.100
Nov-00	3.555	-14.129	-36.719	-24.120	-23.881	-47.249
Dec-00	3.544	-14.306	-36.391	-24.004	-24.203	-47.177
Jan-01	4.332	-13.195	-35.680	-23.302	-23.999	-46.490
Feb-01	4.452	-13.440	-36.019	-23.523	-24.107	-46.646
Mar-01	4.622	-13.334	-36.094	-23.326	-23.925	-46.199
Apr-01	4.659	-12.672	-35.438	-22.694	-23.344	-45.548
May-01	4.707	-12.597	-35.481	-22.583	-23.480	-45.399
Jun-01	4.704	-12.587	-35.482	-22.623	-23.493	-45.528
Jul-01	4.750	-12.813	-35.941	-22.617	-23.541	-44.998
Aug-01	4.883	-12.996	-36.422	-22.792	-23.709	-45.168
Sep-01	4.265	-13.990	-36.784	-22.359	-24.413	-44.425
Oct-01	3.710	-15.484	-38.381	-22.946	-25.199	-44.856
Nov-01	3.845	-14.281	-37.020	-21.949	-24.059	-44.155
Dec-01	3.604	-14.262	-36.732	-21.926	-23.826	-43.974
Jan-02	3.431	-14.367	-36.828	-22.079	-23.984	-44.152
Feb-02	3.497	-14.317	-37.021	-22.143	-24.150	-44.329
Mar-02	3.304	-14.339	-36.806	-22.406	-23.811	-44.752
Apr-02	3.000	-14.240	-36.583	-21.989	-23.757	-45.038
May-02	2.970	-14.295	-36.693	-22.023	-23.905	-45.280
Jun-02	3.076	-14.268	-37.119	-22.211	-24.177	-45.752
Jul-02	3.315	-14.496	-38.143	-22.809	-24.947	-46.887
Aug-02	3.317	-15.547	-39.574	-23.884	-25.858	-48.382
Sep-02	3.647	-16.577	-41.683	-25.365	-27.572	-51.091
Oct-02	3.488	-16.474	-41.584	-25.158	-27.581	-51.207
Nov-02	3.334	-15.502	-40.504	-24.099	-27.020	-50.181
Dec-02	3.393	-16.476	-42.754	-25.383	-28.047	-51.608
Jan-03	3.404	-16.250	-42.668	-25.133	-27.952	-51.543
Feb-03	3.057	-17.734	-44.646	-26.329	-28.994	-53.057
Mar-03	2.982	-18.033	-45.227	-26.501	-29.404	-53.772
Apr-03	2.977	-18.234	-46.115	-26.838	-29.726	-54.492
May-03	3.082	-19.528	-49.253	-28.680	-31.326	-55.984
Jun-03	3.073	-19.440	-49.681	-28.787	-31.995	-56.156
Jul-03	3.839	-17.193	-47.158	-27.029	-30.715	-54.248
Aug-03	3.945	-17.148	-47.239	-26.880	-30.685	-54.121
Sep-03	3.299	-19.240	-50.195	-28.580	-32.293	-55.497
Oct-03	3.620	-18.279	-49.105	-27.639	-31.588	-54.360
Nov-03	3.667	-18.328	-49.225	-27.562	-31.647	-54.345
Dec-03	3.436	-18.885	-50.182	-28.063	-32.176	-55.092

Figure 5a. Trace Cumulative Squared Prediction Errors, 3-Month Forecast Horizon, 1989 - 2003: Yield-Only Models

Data for Figure 5a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-89	0.095	-1.664	-3.757	-1.862	-0.668	-1.983
Apr-89	0.037	-1.826	-4.443	-1.933	-0.826	-2.186
May-89	0.050	2.095	-0.259	2.057	3.038	1.461
Jun-89	0.743	5.400	9.751	7.040	10.056	4.093
Jul-89	0.445	4.065	14.347	7.440	14.217	2.450
Aug-89	0.352	2.090	15.100	6.185	13.447	0.475
Sep-89	0.791	2.668	15.915	6.930	14.138	1.105
Oct-89	1.230	2.332	16.170	6.921	14.609	0.755
Nov-89	0.537	-0.013	16.311	5.561	14.818	-1.554
Dec-89	-0.023	-1.516	16.806	4.613	15.123	-2.973
Jan-90	0.763	0.453	18.317	6.394	16.466	-1.046
Feb-90	2.070	3.102	19.856	8.859	18.983	1.427
Mar-90	3.367	5.549	20.885	10.988	21.051	3.704
Apr-90	4.187	7.438	21.741	12.521	21.043	5.547
May-90	4.272	7.353	21.869	12.549	21.103	5.433
Jun-90	3.992	6.468	21.992	12.174	21.723	4.541
Jul-90	3.549	6.982	24.112	13.415	24.042	4.933
Aug-90	3.450	6.875	24.303	13.424	23.976	4.810
Sep-90	3.469	6.808	24.374	13.284	21.840	4.771
Oct-90	3.438	6.339	23.648	12.559	21.014	4.250
Nov-90	2.626	1.708	17.731	7.675	17.643	-0.529
Dec-90	1.248	-3.194	10.292	1.999	12.631	-5.334
Jan-91	-0.337	-7.924	2.365	-3.958	4.878	-10.097
Feb-91	-1.843	-10.923	-2.246	-7.738	-2.460	-12.992
Mar-91	-2.861	-12.366	-4.897	-9.320	-5.785	-14.448
Apr-91	-4.164	-14.935	-9.488	-12.106	-8.834	-17.041
May-91	-5.164	-16.501	-12.484	-13.705	-11.187	-18.655
Jun-91	-5.660	-17.325	-14.358	-14.459	-11.731	-19.684
Jul-91	-5.783	-17.830	-15.887	-14.912	-12.163	-20.378
Aug-91	-7.332	-20.833	-21.982	-17.843	-15.656	-23.279
Sep-91	-10.238	-25.675	-32.331	-22.654	-21.243	-27.587
Oct-91	-13.802	-32.868	-46.765	-30.326	-30.804	-34.109
Nov-91	-17.995	-41.865	-64.182	-39.809	-43.211	-42.233
Dec-91	-23.878	-53.684	-85.813	-51.905	-59.500	-53.150
Jan-92	-27.632	-61.364	-102.994	-60.231	-67.312	-59.996
Feb-92	-29.427	-65.042	-114.202	-64.176	-68.734	-63.088
Mar-92	-26.483	-59.542	-108.067	-58.647	-63.122	-58.546
Apr-92	-26.709	-59.840	-112.795	-58.666	-67.574	-58.937
May-92	-28.199	-62.716	-121.735	-61.090	-71.063	-61.296
Jun-92	-31.916	-68.547	-136.223	-65.895	-77.242	-65.918
Jul-92	-36.910	-75.650	-156.799	-72.097	-85.811	-71.043
Aug-92	-42.020	-84.514	-178.898	-79.884	-97.161	-77.647
Sep-92	-48.142	-95.914	-206.354	-90.130	-111.680	-86.185
Oct-92	-49.397	-98.442	-215.106	-91.773	-115.064	-87.674
Nov-92	-47.985	-96.072	-215.913	-89.246	-113.971	-85.511
Dec-92	-45.725	-92.556	-214.894	-85.848	-110.520	-82.558
Jan-93	-47.842	-96.295	-226.910	-88.560	-115.156	-84.746
Feb-93	-52.589	-102.594	-244.131	-93.014	-122.359	-88.538
Mar-93	-56.117	-107.820	-258.670	-96.579	-128.325	-91.599
Apr-93	-58.520	-112.797	-271.543	-100.075	-133.139	-94.562
May-93	-58.358	-113.508	-275.973	-100.161	-134.141	-94.499
Jun-93	-59.697	-116.908	-285.128	-102.284	-137.602	-96.319
Jul-93	-60.281	-119.166	-292.775	-103.576	-139.674	-97.398
Aug-93	-63.289	-124.839	-305.108	-107.347	-144.967	-100.815
Sep-93	-65.269	-129.031	-312.952	-109.771	-148.887	-103.176
Oct-93	-67.048	-132.502	-319.399	-111.627	-150.151	-105.020
Nov-93	-66.149	-131.655	-319.096	-110.628	-149.605	-104.011
Dec-93	-65.225	-130.751	-318.433	-109.691	-149.108	-103.093
Jan-94	-65.533	-131.845	-320.245	-110.076	-150.215	-103.483
Feb-94	-64.301	-130.256	-318.943	-108.670	-149.182	-102.180
Mar-94	-60.399	-124.646	-311.056	-104.744	-145.465	-98.516
Apr-94	-53.526	-114.501	-297.245	-98.178	-138.257	-92.126
May-94	-48.682	-108.923	-288.739	-94.708	-134.468	-88.704
Jun-94	-45.929	-106.837	-284.316	-93.661	-133.966	-87.738
Jul-94	-45.367	-106.492	-283.802	-93.521	-133.812	-87.655
Aug-94	-44.934	-106.030	-283.285	-93.176	-133.429	-87.403
Sep-94	-43.533	-105.689	-282.011	-93.268	-133.241	-87.550
Oct-94	-41.037	-104.614	-279.419	-93.011	-132.801	-87.276
Nov-94	-37.776	-102.318	-275.620	-91.705	-131.296	-85.914
Dec-94	-35.912	-101.847	-274.249	-91.872	-131.097	-85.937
Jan-95	-34.929	-100.605	-273.129	-90.870	-129.481	-84.951
Feb-95	-35.724	-98.739	-271.043	-88.742	-127.285	-83.041
Mar-95	-36.328	-94.896	-266.479	-84.624	-123.800	-79.161
Apr-95	-37.360	-94.559	-265.065	-83.878	-122.796	-78.722
May-95	-39.320	-96.410	-265.576	-84.955	-123.443	-80.232
Jun-95	-41.659	-99.557	-267.028	-87.165	-124.173	-82.945
Jul-95	-43.398	-102.627	-268.887	-89.519	-125.684	-85.576
Aug-95	-43.914	-104.335	-269.687	-90.785	-127.294	-86.868
Sep-95	-44.226	-105.563	-270.181	-91.580	-128.056	-87.783
Oct-95	-45.514	-108.956	-272.836	-94.241	-129.884	-90.676
Nov-95	-47.136	-112.904	-275.332	-97.126	-131.893	-93.980
Dec-95	-49.560	-117.824	-277.753	-100.863	-135.146	-97.958
Jan-96	-51.772	-122.605	-280.171	-104.445	-139.026	-101.788
Feb-96	-51.891	-123.052	-279.916	-104.622	-139.779	-101.765
Mar-96	-49.813	-119.351	-277.502	-101.627	-136.856	-98.584
Apr-96	-46.744	-112.044	-271.245	-95.535	-131.766	-92.205
May-96	-44.671	-108.078	-267.543	-92.207	-129.503	-88.793
Jun-96	-44.155	-107.206	-266.641	-91.466	-129.160	-87.972
Jul-96	-43.813	-106.898	-266.340	-91.190	-129.044	-87.719
Aug-96	-43.713	-106.906	-266.234	-91.145	-129.153	-87.768
Sep-96	-43.919	-107.217	-266.301	-91.286	-129.357	-87.993
Oct-96	-45.242	-108.599	-267.013	-92.064	-129.556	-89.043
Nov-96	-47.266	-110.461	-268.261	-92.954	-128.990	-90.442
Dec-96	-48.090	-111.398	-268.832	-93.452	-129.102	-91.185
Jan-97	-47.987	-111.412	-268.663	-93.355	-129.131	-91.146
Feb-97	-46.846	-109.698	-267.391	-91.985	-128.077	-89.671
Mar-97	-45.557	-108.197	-266.305	-90.894	-127.430	-88.485
Apr-97	-44.921	-107.463	-265.652	-90.328	-127.213	-87.888
May-97	-44.927	-107.580	-265.562	-90.444	-127.440	-87.983
Jun-97	-45.965	-108.581	-265.790	-90.858	-127.117	-88.791
Jul-97	-47.465	-109.706	-265.946	-91.190	-126.862	-89.504
Aug-97	-48.134	-110.037	-265.854	-91.158	-126.881	-89.681
Sep-97	-49.224	-111.404	-266.315	-91.919	-126.894	-90.690
Oct-97	-49.922	-112.793	-266.673	-92.746	-127.419	-91.744
Nov-97	-50.923	-114.140	-267.048	-93.402	-127.481	-92.825
Dec-97	-51.571	-114.781	-267.132	-93.477	-127.272	-93.255
Jan-98	-52.657	-116.777	-267.602	-94.572	-128.049	-94.784
Feb-98	-53.494	-118.151	-267.619	-95.208	-128.418	-95.797
Mar-98	-53.973	-119.315	-267.653	-95.773	-128.951	-96.603
Apr-98	-53.783	-119.217	-267.208	-95.605	-129.104	-96.308
May-98	-54.292	-120.371	-267.185	-96.391	-129.870	-97.104
Jun-98	-54.987	-122.025	-267.376	-97.279	-130.187	-98.331
Jul-98	-55.477	-122.802	-267.434	-97.640	-130.599	-98.862
Aug-98	-57.332	-124.767	-266.726	-98.460	-132.129	-100.084
Sep-98	-61.152	-130.616	-265.981	-101.886	-134.674	-104.386
Oct-98	-64.868	-135.430	-264.822	-104.599	-137.109	-107.766
Nov-98	-66.470	-138.899	-265.519	-106.794	-139.438	-110.188
Dec-98	-65.857	-138.183	-265.346	-106.093	-138.961	-109.473
Jan-99	-65.477	-138.176	-265.017	-105.661	-138.625	-109.196
Feb-99	-63.919	-135.358	-263.628	-103.602	-136.885	-106.911
Mar-99	-62.717	-133.326	-262.876	-102.240	-135.792	-105.258
Apr-99	-61.190	-130.521	-261.847	-100.461	-134.715	-103.040
May-99	-60.667	-130.063	-261.692	-100.260	-135.049	-102.764
Jun-99	-59.338	-128.001	-260.484	-98.882	-134.634	-101.135
Jul-99	-57.911	-126.057	-259.461	-97.714	-134.190	-99.751
Aug-99	-57.037	-125.331	-259.555	-97.535	-134.274	-99.333
Sep-99	-56.908	-125.385	-259.607	-97.621	-134.469	-99.418
Oct-99	-56.624	-125.184	-259.703	-97.629	-134.663	-99.359
Nov-99	-56.080	-124.718	-259.969	-97.485	-134.452	-99.080
Dec-99	-54.529	-123.362	-260.159	-96.916	-134.287	-98.214
Jan-00	-52.648	-122.159	-261.188	-96.545	-133.325	-97.594
Feb-00	-51.608	-121.324	-261.761	-96.028	-132.619	-97.055
Mar-00	-51.429	-120.897	-261.766	-95.369	-131.714	-96.751
Apr-00	-51.678	-121.025	-261.756	-95.247	-131.453	-96.882
May-00	-52.021	-121.579	-261.857	-95.835	-132.026	-97.388
Jun-00	-52.234	-121.890	-262.128	-96.028	-132.146	-97.590
Jul-00	-52.492	-121.042	-262.237	-94.990	-131.042	-96.800
Aug-00	-52.645	-117.412	-260.623	-91.102	-126.962	-93.283
Sep-00	-53.160	-117.499	-260.419	-90.940	-126.592	-93.334
Oct-00	-53.811	-118.840	-260.322	-91.833	-127.051	-94.511
Nov-00	-54.783	-121.321	-260.042	-93.535	-128.566	-96.750
Dec-00	-56.540	-125.534	-260.128	-96.887	-132.357	-100.472
Jan-01	-58.956	-131.741	-259.862	-102.146	-138.895	-105.595
Feb-01	-61.369	-138.351	-260.471	-107.624	-145.650	-110.875
Mar-01	-63.653	-143.667	-261.732	-111.803	-151.226	-114.634
Apr-01	-64.950	-145.114	-262.787	-112.737	-153.113	-115.302
May-01	-66.103	-145.214	-263.083	-112.539	-149.309	-114.633
Jun-01	-66.525	-144.476	-262.681	-111.647	-148.616	-113.645
Jul-01	-68.313	-147.699	-266.845	-113.852	-151.067	-116.039
Aug-01	-70.399	-151.335	-272.034	-116.166	-153.026	-118.651
Sep-01	-75.380	-158.499	-281.898	-121.108	-158.138	-123.789
Oct-01	-81.130	-169.250	-297.402	-129.036	-166.165	-131.764
Nov-01	-85.359	-175.284	-306.165	-132.884	-171.306	-135.973
Dec-01	-86.308	-175.659	-308.602	-132.479	-171.630	-136.193
Jan-02	-85.052	-171.330	-304.524	-128.666	-167.660	-133.075
Feb-02	-85.143	-171.846	-306.787	-128.640	-167.619	-133.517
Mar-02	-83.952	-170.294	-304.909	-127.473	-166.330	-133.062
Apr-02	-84.351	-171.306	-307.527	-127.785	-166.602	-134.058
May-02	-84.637	-172.066	-309.704	-127.903	-166.690	-134.680
Jun-02	-87.403	-174.536	-315.878	-128.283	-166.955	-135.690
Jul-02	-90.321	-178.863	-325.775	-130.160	-168.619	-137.665
Aug-02	-93.707	-184.017	-337.382	-132.600	-170.827	-139.890
Sep-02	-97.912	-192.431	-354.632	-137.452	-175.574	-144.146
Oct-02	-100.739	-200.849	-371.296	-143.246	-182.841	-149.078
Nov-02	-102.009	-203.567	-377.863	-144.375	-185.356	-150.192
Dec-02	-103.094	-206.518	-384.056	-145.516	-187.847	-151.033
Jan-03	-103.884	-209.051	-390.819	-146.508	-189.897	-151.815
Feb-03	-106.038	-215.093	-402.668	-149.859	-194.345	-154.643
Mar-03	-106.734	-218.212	-409.574	-151.289	-196.623	-155.790
Apr-03	-107.815	-222.184	-417.995	-153.333	-199.532	-157.521
May-03	-109.227	-227.938	-428.058	-156.433	-203.956	-160.105
Jun-03	-110.857	-233.434	-438.841	-159.311	-208.116	-162.539
Jul-03	-110.513	-232.254	-439.712	-157.778	-207.010	-161.156
Aug-03	-108.854	-225.622	-433.298	-153.034	-201.959	-156.684
Sep-03	-108.473	-225.244	-434.490	-152.277	-201.565	-155.886
Oct-03	-109.001	-227.252	-441.329	-153.211	-202.989	-156.639
Nov-03	-109.618	-228.987	-447.294	-153.893	-204.244	-157.276
Dec-03	-109.189	-228.222	-448.592	-152.864	-203.456	-156.386

Figure 5b. Trace Cumulative Squared Prediction Errors, 3-Month Forecast Horizon, 1989 - 2003: Macro Models

Notes: Figures 4 and 5 show the Trace Cumulative Squared Prediction Error [TCSPE], relative to the random walk, of individual yield-only models in Panel (a), and individual models with macro factors in Panel (b). Figure 4 shows TCSPEs for a 1-month forecast horizon whereas Figure 5 does so for a 3-month horizon. The forecast sample is 1989:1 - 2003:12.

Data for Figure 5b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-89	1.338	-1.287	-7.793	-5.722	-1.962	-3.324
Apr-89	1.458	-1.521	-10.077	-7.085	-2.669	-3.580
May-89	1.395	1.684	-6.077	-2.710	1.922	0.940
Jun-89	4.440	6.803	7.220	8.171	12.301	7.694
Jul-89	6.126	8.902	14.874	13.938	19.157	9.550
Aug-89	5.839	9.175	17.061	15.607	19.775	9.355
Sep-89	5.497	9.599	17.360	15.948	20.133	10.128
Oct-89	4.620	9.929	17.455	16.002	20.774	9.829
Nov-89	5.118	10.328	19.734	18.147	22.295	9.671
Dec-89	4.888	10.879	22.049	20.390	23.736	10.561
Jan-90	4.772	11.521	20.346	19.031	24.022	11.968
Feb-90	3.199	10.891	15.538	14.496	23.885	11.106
Mar-90	1.806	9.980	9.539	8.914	22.607	8.920
Apr-90	-0.181	9.280	4.910	4.867	20.392	7.948
May-90	-0.546	9.343	3.871	4.051	19.983	7.731
Jun-90	-0.916	9.523	4.563	4.850	20.895	7.918
Jul-90	0.146	11.230	9.619	9.598	25.258	11.458
Aug-90	0.283	11.601	9.553	9.804	25.739	11.985
Sep-90	-0.020	11.961	10.213	10.614	26.235	12.811
Oct-90	0.020	12.323	10.768	11.238	26.464	13.154
Nov-90	2.117	11.391	8.702	9.374	25.671	11.790
Dec-90	6.025	10.798	4.774	6.522	24.255	10.244
Jan-91	8.594	9.789	-1.052	2.523	19.969	8.541
Feb-91	10.804	9.952	-3.426	1.630	15.909	8.183
Mar-91	11.544	10.210	-4.148	1.845	14.063	8.699
Apr-91	12.548	10.200	-5.782	1.630	13.085	8.919
May-91	12.782	10.217	-6.147	1.865	12.447	9.345
Jun-91	12.444	10.234	-5.957	2.078	12.372	9.659
Jul-91	11.999	10.229	-6.047	1.699	12.222	9.287
Aug-91	12.115	9.335	-7.318	1.362	11.305	9.274
Sep-91	13.015	7.909	-10.043	0.649	9.968	9.837
Oct-91	13.872	5.609	-15.305	-2.167	5.329	8.592
Nov-91	14.581	2.857	-22.283	-6.118	-1.644	4.037
Dec-91	18.621	0.551	-28.679	-9.076	-10.526	1.897
Jan-92	19.770	-1.194	-34.530	-12.234	-16.147	-0.418
Feb-92	19.936	-1.664	-37.622	-13.719	-19.030	-1.178
Mar-92	16.197	0.916	-31.779	-9.657	-14.250	2.859
Apr-92	14.042	1.575	-31.887	-8.978	-13.762	3.752
May-92	14.010	1.114	-34.313	-10.088	-15.177	2.205
Jun-92	14.349	-0.865	-40.476	-13.596	-17.866	0.877
Jul-92	16.790	-3.608	-53.285	-21.317	-23.015	-3.432
Aug-92	20.904	-6.346	-66.101	-29.218	-31.310	-8.718
Sep-92	24.494	-10.702	-83.527	-40.163	-43.212	-16.482
Oct-92	23.132	-10.939	-87.291	-41.442	-45.124	-17.249
Nov-92	20.271	-9.097	-85.523	-38.928	-42.948	-14.892
Dec-92	19.076	-6.449	-82.439	-35.456	-39.536	-11.705
Jan-93	19.898	-7.693	-87.850	-37.739	-43.011	-13.262
Feb-93	17.389	-11.173	-96.765	-41.713	-48.968	-16.024
Mar-93	17.037	-13.558	-104.192	-45.029	-54.465	-18.402
Apr-93	15.217	-16.100	-111.745	-48.838	-59.741	-23.311
May-93	14.502	-15.841	-112.916	-48.757	-60.326	-23.518
Jun-93	14.120	-16.359	-116.750	-50.145	-62.107	-25.386
Jul-93	12.141	-16.513	-119.043	-50.715	-63.016	-26.553
Aug-93	14.024	-17.545	-122.646	-51.559	-65.046	-27.612
Sep-93	14.469	-18.173	-124.033	-51.592	-65.972	-28.923
Oct-93	14.789	-18.687	-124.569	-51.337	-66.479	-29.281
Nov-93	13.952	-18.213	-124.283	-52.182	-66.118	-29.770
Dec-93	13.433	-17.817	-124.303	-53.480	-66.338	-29.794
Jan-94	13.082	-17.755	-124.423	-54.165	-66.701	-30.014
Feb-94	12.253	-17.317	-123.745	-54.730	-66.950	-29.853
Mar-94	10.435	-16.423	-122.185	-56.415	-67.632	-30.646
Apr-94	10.203	-14.671	-120.085	-59.720	-67.701	-32.466
May-94	8.267	-14.671	-121.142	-64.320	-69.497	-37.557
Jun-94	10.168	-13.943	-121.306	-66.836	-71.192	-39.750
Jul-94	10.776	-13.887	-122.136	-68.336	-72.101	-41.320
Aug-94	10.417	-14.128	-123.382	-69.969	-72.955	-43.658
Sep-94	10.311	-14.887	-125.836	-73.289	-75.415	-48.974
Oct-94	9.075	-16.418	-129.594	-78.332	-79.956	-55.224
Nov-94	8.110	-17.729	-133.474	-83.491	-85.408	-62.475
Dec-94	9.054	-18.563	-136.598	-87.496	-88.593	-66.420
Jan-95	9.479	-18.566	-137.197	-88.457	-88.694	-67.864
Feb-95	10.395	-16.409	-133.701	-84.763	-84.901	-64.121
Mar-95	11.476	-12.710	-129.164	-79.497	-79.200	-59.261
Apr-95	13.123	-10.871	-126.057	-76.217	-75.762	-55.937
May-95	14.337	-9.263	-121.612	-71.982	-71.194	-51.367
Jun-95	16.613	-7.628	-116.381	-67.154	-65.544	-45.828
Jul-95	18.403	-6.920	-113.542	-64.476	-62.811	-43.551
Aug-95	18.372	-6.805	-113.626	-64.466	-62.652	-43.666
Sep-95	18.363	-6.824	-114.826	-65.481	-62.856	-44.584
Oct-95	18.755	-6.946	-114.430	-65.117	-62.033	-44.514
Nov-95	18.559	-7.063	-113.785	-64.380	-60.865	-44.985
Dec-95	18.532	-6.593	-110.601	-61.406	-58.493	-42.232
Jan-96	19.190	-5.989	-108.190	-58.978	-56.594	-39.859
Feb-96	18.683	-5.549	-108.840	-59.335	-56.604	-39.923
Mar-96	18.113	-5.870	-115.985	-65.848	-57.878	-43.037
Apr-96	17.399	-4.875	-119.260	-69.542	-59.436	-43.365
May-96	17.201	-4.667	-121.549	-72.435	-61.780	-44.458
Jun-96	16.968	-4.670	-124.031	-74.753	-63.867	-45.893
Jul-96	16.576	-5.117	-126.862	-77.427	-66.364	-48.020
Aug-96	16.667	-5.292	-128.950	-79.263	-68.260	-49.419
Sep-96	16.672	-5.365	-130.153	-80.324	-69.114	-50.507
Oct-96	17.235	-4.612	-128.540	-78.671	-67.349	-49.051
Nov-96	18.750	-3.322	-124.762	-74.987	-63.221	-45.930
Dec-96	19.201	-2.981	-124.448	-74.578	-62.728	-45.678
Jan-97	18.958	-3.130	-125.853	-75.840	-63.532	-46.535
Feb-97	18.867	-3.390	-129.579	-79.013	-65.010	-47.802
Mar-97	19.101	-3.941	-133.216	-82.440	-67.819	-49.928
Apr-97	18.732	-4.340	-135.201	-84.384	-69.899	-51.506
May-97	18.638	-4.478	-136.542	-85.648	-71.158	-52.660
Jun-97	18.862	-4.034	-135.251	-84.347	-69.764	-51.728
Jul-97	20.217	-2.913	-132.602	-81.641	-67.063	-49.467
Aug-97	20.685	-2.441	-132.882	-81.552	-66.503	-49.526
Sep-97	21.106	-2.060	-132.100	-80.645	-65.450	-48.486
Oct-97	21.306	-1.936	-133.084	-81.133	-65.522	-48.804
Nov-97	21.178	-1.691	-132.919	-80.631	-64.632	-48.131
Dec-97	21.384	-1.441	-134.112	-81.083	-64.324	-48.243
Jan-98	21.782	-1.157	-134.192	-80.703	-63.667	-48.120
Feb-98	21.773	-0.934	-134.918	-80.725	-63.305	-48.148
Mar-98	21.767	-0.912	-136.438	-81.432	-63.526	-48.637
Apr-98	21.493	-0.920	-138.907	-82.931	-64.151	-49.329
May-98	21.458	-0.855	-140.553	-83.692	-64.375	-49.694
Jun-98	21.670	-0.803	-141.833	-84.173	-64.514	-49.933
Jul-98	21.754	-0.788	-144.325	-85.437	-64.680	-50.551
Aug-98	21.844	0.234	-142.063	-82.864	-62.786	-48.220
Sep-98	25.421	2.780	-133.323	-75.723	-56.715	-41.687
Oct-98	30.004	5.853	-124.574	-68.324	-50.803	-34.230
Nov-98	30.781	6.226	-123.619	-67.260	-49.945	-33.187
Dec-98	30.426	5.923	-128.314	-70.817	-50.983	-35.677
Jan-99	30.092	5.863	-131.002	-72.897	-51.347	-37.172
Feb-99	30.356	6.185	-136.632	-76.869	-52.256	-39.147
Mar-99	29.909	6.153	-142.829	-81.143	-53.585	-42.069
Apr-99	29.778	6.258	-149.266	-85.458	-55.887	-43.918
May-99	29.485	5.799	-153.469	-88.401	-58.733	-46.166
Jun-99	28.289	5.473	-157.752	-91.469	-62.066	-48.402
Jul-99	27.882	5.157	-162.410	-94.898	-64.670	-51.096
Aug-99	26.804	4.332	-166.840	-98.413	-67.266	-53.897
Sep-99	26.808	4.099	-169.086	-100.009	-68.080	-54.938
Oct-99	27.125	4.032	-171.403	-101.658	-69.030	-55.614
Nov-99	27.100	3.627	-174.555	-103.851	-70.113	-57.414
Dec-99	25.724	2.512	-179.507	-107.474	-72.706	-60.508
Jan-00	25.235	1.166	-185.532	-112.063	-74.524	-63.487
Feb-00	24.572	0.228	-189.526	-114.785	-76.029	-65.363
Mar-00	24.787	0.141	-190.702	-115.255	-75.893	-65.594
Apr-00	24.808	0.209	-191.207	-115.337	-75.884	-65.569
May-00	24.784	0.284	-191.724	-115.719	-76.146	-65.728
Jun-00	24.799	0.313	-192.948	-116.240	-76.385	-65.904
Jul-00	24.801	0.756	-193.782	-115.997	-75.799	-65.150
Aug-00	25.514	2.801	-193.196	-113.524	-71.690	-62.024
Sep-00	25.688	3.187	-193.713	-113.272	-71.099	-61.606
Oct-00	25.922	3.376	-193.603	-113.018	-70.789	-61.484
Nov-00	26.500	3.644	-192.752	-112.373	-70.630	-61.267
Dec-00	26.935	3.503	-190.163	-110.759	-71.342	-60.636
Jan-01	24.940	3.490	-184.405	-107.293	-71.419	-59.466
Feb-01	27.263	4.220	-179.769	-104.181	-70.845	-57.883
Mar-01	30.585	5.474	-176.191	-101.019	-69.479	-55.388
Apr-01	31.766	6.332	-174.881	-99.151	-68.382	-53.284
May-01	32.507	7.674	-172.515	-96.080	-66.244	-50.068
Jun-01	32.528	8.598	-170.896	-94.314	-64.902	-48.211
Jul-01	32.368	7.844	-172.126	-94.196	-65.653	-47.935
Aug-01	32.072	6.854	-173.697	-93.966	-66.024	-47.804
Sep-01	32.992	5.889	-175.486	-91.995	-65.729	-44.547
Oct-01	32.448	3.044	-179.980	-92.053	-68.395	-45.371
Nov-01	29.667	1.469	-179.846	-89.728	-69.665	-43.880
Dec-01	29.515	2.103	-179.199	-88.307	-68.783	-42.440
Jan-02	31.167	5.092	-174.320	-84.740	-64.579	-38.913
Feb-02	30.994	5.294	-174.250	-84.751	-64.378	-38.819
Mar-02	30.243	6.018	-172.901	-84.835	-63.904	-38.819
Apr-02	30.142	5.993	-173.038	-85.108	-64.005	-39.052
May-02	30.183	6.055	-172.976	-85.198	-63.923	-39.181
Jun-02	28.511	5.783	-171.800	-83.232	-63.490	-38.855
Jul-02	28.373	4.934	-173.864	-83.768	-64.856	-39.667
Aug-02	29.416	4.144	-177.372	-85.222	-66.769	-42.268
Sep-02	30.225	1.667	-185.129	-90.060	-71.471	-48.183
Oct-02	30.493	-1.280	-194.432	-96.629	-77.519	-54.245
Nov-02	30.768	-1.347	-196.640	-97.533	-78.470	-55.323
Dec-02	30.813	-1.444	-198.711	-98.349	-79.281	-55.963
Jan-03	30.802	-1.663	-201.910	-99.670	-80.151	-57.321
Feb-03	31.435	-3.440	-209.945	-103.884	-83.555	-60.589
Mar-03	31.288	-4.255	-215.090	-106.262	-85.641	-62.508
Apr-03	29.875	-5.972	-222.397	-110.020	-89.423	-66.243
May-03	28.765	-8.371	-231.785	-115.149	-94.499	-71.083
Jun-03	28.762	-10.297	-243.043	-120.792	-99.100	-75.421
Jul-03	28.810	-9.096	-243.972	-119.685	-98.112	-73.925
Aug-03	28.944	-5.095	-237.249	-114.340	-92.662	-69.037
Sep-03	29.186	-4.358	-237.327	-113.595	-92.629	-68.359
Oct-03	28.309	-5.358	-242.984	-115.992	-94.935	-70.187
Nov-03	27.576	-6.168	-248.029	-118.050	-96.933	-71.568
Dec-03	28.014	-5.255	-248.706	-117.341	-96.708	-70.736

Figure 6a. Trace Cumulative Squared Prediction Errors, 6-month Forecast Horizon, 1989 - 2003: Yield-Only Models

Data for Figure 6a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-89	-0.813	3.636	6.329	4.344	4.414	3.422
Jul-89	-1.950	1.755	11.883	3.417	5.499	0.589
Aug-89	-1.629	8.953	22.450	10.718	10.387	7.503
Sep-89	-0.359	12.105	32.972	14.527	16.060	9.094
Oct-89	-0.872	9.841	38.302	13.475	18.744	5.761
Nov-89	-1.509	4.177	40.720	8.362	13.796	-0.915
Dec-89	-2.047	-0.614	39.694	4.196	11.807	-5.591
Jan-90	0.519	4.021	44.221	8.884	16.181	-0.955
Feb-90	0.830	3.933	44.315	9.203	16.386	-0.987
Mar-90	1.340	4.511	44.174	9.909	14.753	-0.343
Apr-90	5.027	13.552	49.508	17.918	21.285	8.364
May-90	7.594	18.079	51.714	21.912	25.190	12.516
Jun-90	8.766	19.728	52.341	23.485	26.645	14.045
Jul-90	7.983	17.614	51.941	21.863	22.363	11.969
Aug-90	7.953	17.025	52.203	21.487	22.140	11.269
Sep-90	7.655	16.245	53.110	21.068	22.519	10.395
Oct-90	6.978	16.690	55.776	21.981	24.140	10.480
Nov-90	5.475	14.270	55.801	20.085	22.019	8.045
Dec-90	3.351	8.663	52.767	14.678	3.274	2.520
Jan-91	0.624	0.726	45.367	6.620	-4.875	-5.149
Feb-91	-2.540	-9.168	31.054	-4.261	-14.509	-15.462
Mar-91	-6.122	-17.633	17.652	-13.615	-24.145	-23.881
Apr-91	-10.361	-26.256	2.815	-23.854	-38.912	-32.115
May-91	-14.145	-32.741	-5.484	-30.789	-52.057	-37.792
Jun-91	-16.655	-36.456	-10.776	-34.127	-58.677	-40.839
Jul-91	-19.115	-41.256	-18.223	-38.391	-63.816	-44.843
Aug-91	-23.615	-48.460	-29.006	-44.373	-71.639	-50.651
Sep-91	-30.091	-59.459	-45.417	-52.662	-77.789	-59.794
Oct-91	-37.382	-70.759	-64.062	-61.351	-85.944	-68.764
Nov-91	-47.313	-85.812	-89.718	-73.674	-101.446	-80.537
Dec-91	-61.128	-104.968	-125.734	-89.397	-120.995	-95.371
Jan-92	-72.964	-123.832	-160.717	-106.408	-143.271	-110.670
Feb-92	-83.204	-142.476	-194.199	-122.901	-165.556	-125.542
Mar-92	-89.547	-153.888	-213.905	-132.019	-179.481	-134.027
Apr-92	-96.492	-166.647	-240.117	-142.543	-189.840	-143.069
May-92	-102.466	-178.523	-267.050	-151.438	-192.973	-150.455
Jun-92	-105.403	-187.083	-285.439	-155.686	-200.637	-154.336
Jul-92	-116.045	-207.136	-328.610	-169.529	-236.444	-166.580
Aug-92	-128.497	-229.461	-373.291	-184.550	-256.833	-180.043
Sep-92	-145.692	-255.516	-424.676	-201.060	-278.639	-195.780
Oct-92	-157.170	-272.678	-464.171	-210.917	-293.098	-204.635
Nov-92	-164.366	-285.514	-493.606	-218.200	-304.923	-211.410
Dec-92	-171.920	-300.305	-527.825	-227.006	-319.169	-219.134
Jan-93	-178.410	-315.105	-558.290	-234.100	-331.349	-225.382
Feb-93	-185.909	-333.475	-598.297	-244.155	-333.108	-233.567
Mar-93	-189.189	-345.417	-628.571	-248.763	-342.364	-236.940
Apr-93	-197.647	-361.946	-664.057	-256.323	-355.581	-243.213
May-93	-206.248	-375.983	-693.542	-262.219	-366.004	-248.575
Jun-93	-215.233	-391.710	-726.346	-268.677	-377.806	-254.240
Jul-93	-220.822	-405.077	-753.602	-273.938	-386.235	-258.828
Aug-93	-226.616	-421.132	-781.828	-280.503	-397.803	-264.480
Sep-93	-232.993	-437.806	-810.202	-287.263	-409.222	-270.582
Oct-93	-237.596	-452.260	-837.220	-293.110	-418.596	-275.620
Nov-93	-241.614	-463.273	-854.993	-296.993	-425.248	-279.214
Dec-93	-243.535	-471.692	-865.086	-298.907	-430.135	-281.110
Jan-94	-247.503	-483.241	-877.712	-302.437	-432.306	-284.745
Feb-94	-243.163	-479.247	-872.956	-297.595	-427.969	-279.962
Mar-94	-233.222	-463.370	-856.621	-287.473	-417.574	-269.828
Apr-94	-219.872	-440.475	-834.200	-273.889	-403.277	-256.145
May-94	-207.251	-420.111	-812.145	-261.177	-389.984	-243.606
Jun-94	-193.357	-397.823	-787.602	-248.206	-376.088	-230.801
Jul-94	-178.906	-374.416	-763.864	-235.036	-361.283	-217.486
Aug-94	-168.741	-360.565	-749.008	-227.200	-352.428	-209.514
Sep-94	-160.215	-351.101	-736.785	-222.801	-348.515	-204.897
Oct-94	-153.926	-345.798	-729.700	-221.261	-345.591	-203.058
Nov-94	-146.339	-339.219	-722.329	-218.978	-341.605	-200.421
Dec-94	-139.351	-333.928	-715.718	-217.676	-339.026	-198.755
Jan-95	-132.203	-326.108	-707.825	-213.387	-333.693	-194.256
Feb-95	-128.876	-321.824	-704.095	-210.279	-329.673	-191.019
Mar-95	-127.592	-318.705	-702.051	-207.417	-326.232	-188.134
Apr-95	-128.019	-316.093	-700.974	-204.240	-322.910	-185.057
May-95	-132.100	-312.935	-694.091	-198.293	-316.174	-180.273
Jun-95	-136.447	-306.199	-678.123	-188.335	-308.051	-171.696
Jul-95	-140.932	-308.957	-674.500	-188.356	-307.177	-172.783
Aug-95	-145.463	-315.692	-676.100	-192.251	-310.844	-177.411
Sep-95	-150.306	-323.930	-679.102	-197.430	-314.089	-183.469
Oct-95	-155.568	-334.310	-684.102	-204.504	-319.545	-191.213
Nov-95	-159.686	-347.316	-690.237	-213.430	-328.840	-200.682
Dec-95	-165.017	-361.353	-696.286	-222.728	-337.900	-210.510
Jan-96	-171.425	-377.435	-706.451	-233.879	-347.456	-222.312
Feb-96	-174.782	-386.164	-710.010	-239.310	-352.604	-228.099
Mar-96	-175.864	-390.094	-710.435	-241.217	-354.908	-230.194
Apr-96	-174.644	-388.776	-708.179	-239.555	-354.653	-228.324
May-96	-170.560	-380.245	-701.322	-232.150	-348.770	-220.462
Jun-96	-165.415	-371.034	-695.985	-225.316	-342.453	-213.162
Jul-96	-158.720	-357.593	-685.273	-214.324	-332.326	-201.916
Aug-96	-154.527	-350.528	-679.162	-208.473	-327.614	-195.926
Sep-96	-153.975	-350.611	-678.309	-207.872	-327.356	-195.375
Oct-96	-156.103	-354.403	-680.083	-209.523	-328.446	-197.462
Nov-96	-160.039	-359.996	-682.809	-211.890	-328.836	-200.682
Dec-96	-162.038	-363.281	-683.946	-213.298	-330.020	-202.465
Jan-97	-164.361	-367.026	-685.169	-215.116	-331.343	-204.707
Feb-97	-166.497	-370.246	-686.433	-216.529	-331.918	-206.645
Mar-97	-165.716	-369.780	-685.690	-215.916	-331.684	-206.101
Apr-97	-164.196	-368.111	-683.928	-214.281	-330.493	-204.418
May-97	-161.983	-365.010	-681.457	-211.722	-328.659	-201.592
Jun-97	-162.013	-365.974	-681.248	-211.790	-328.974	-201.855
Jul-97	-164.113	-370.530	-683.134	-213.897	-330.179	-204.511
Aug-97	-165.500	-373.382	-683.785	-215.092	-330.949	-206.096
Sep-97	-169.299	-378.457	-685.052	-217.370	-331.202	-209.189
Oct-97	-173.301	-383.894	-686.048	-219.654	-332.355	-212.219
Nov-97	-176.359	-387.621	-686.352	-220.698	-333.276	-213.964
Dec-97	-179.547	-393.189	-687.931	-223.059	-333.663	-217.193
Jan-98	-182.912	-401.386	-689.953	-227.304	-336.645	-222.294
Feb-98	-186.298	-407.738	-691.394	-230.180	-337.970	-226.093
Mar-98	-188.454	-412.052	-691.803	-231.592	-338.814	-228.193
Apr-98	-190.207	-416.958	-692.235	-233.825	-340.960	-230.870
May-98	-192.788	-422.988	-692.339	-236.783	-343.564	-234.379
Jun-98	-195.036	-429.427	-692.778	-239.874	-346.417	-238.082
Jul-98	-195.654	-433.309	-692.751	-241.300	-347.948	-239.653
Aug-98	-200.248	-445.053	-694.172	-247.629	-353.018	-246.947
Sep-98	-208.800	-464.468	-696.559	-258.382	-359.451	-259.592
Oct-98	-216.950	-479.502	-696.120	-265.611	-366.228	-268.270
Nov-98	-223.305	-491.177	-694.666	-270.583	-372.700	-274.388
Dec-98	-229.575	-504.896	-694.143	-277.226	-378.120	-282.405
Jan-99	-236.055	-517.694	-693.117	-283.087	-383.362	-289.490
Feb-99	-236.126	-519.925	-692.166	-283.204	-384.210	-289.671
Mar-99	-232.441	-513.819	-690.792	-278.746	-380.034	-284.856
Apr-99	-228.583	-507.885	-687.010	-273.710	-375.362	-279.723
May-99	-224.387	-500.009	-683.414	-268.040	-370.491	-273.603
Jun-99	-219.227	-490.207	-680.976	-262.042	-365.289	-266.768
Jul-99	-213.141	-477.815	-677.592	-254.738	-360.115	-258.239
Aug-99	-210.274	-473.736	-676.772	-252.402	-359.454	-255.372
Sep-99	-207.426	-469.630	-674.390	-249.445	-358.003	-252.001
Oct-99	-204.035	-464.581	-672.116	-246.240	-356.001	-248.364
Nov-99	-201.174	-461.049	-671.773	-244.381	-354.857	-245.976
Dec-99	-197.767	-456.849	-671.263	-242.263	-353.035	-243.328
Jan-00	-193.333	-451.585	-670.659	-239.879	-352.267	-240.184
Feb-00	-190.025	-447.835	-670.995	-237.988	-350.232	-237.854
Mar-00	-186.536	-443.578	-670.838	-235.192	-347.953	-234.806
Apr-00	-183.579	-440.447	-672.034	-233.610	-345.927	-232.873
May-00	-182.549	-439.913	-673.188	-233.647	-346.077	-232.671
Jun-00	-182.705	-440.220	-673.409	-233.231	-345.346	-232.517
Jul-00	-183.600	-440.706	-672.906	-232.339	-343.574	-232.359
Aug-00	-185.035	-442.420	-672.380	-232.197	-342.589	-233.087
Sep-00	-186.437	-444.788	-672.166	-232.843	-342.346	-234.289
Oct-00	-188.046	-444.807	-670.726	-231.047	-339.676	-233.272
Nov-00	-190.046	-440.652	-664.768	-224.455	-334.131	-227.722
Dec-00	-194.164	-446.462	-659.973	-226.303	-334.718	-230.950
Jan-01	-199.710	-458.735	-654.522	-234.177	-340.963	-239.608
Feb-01	-205.552	-473.645	-649.946	-243.974	-350.472	-250.557
Mar-01	-212.166	-489.198	-646.908	-254.985	-364.448	-261.741
Apr-01	-217.541	-502.770	-643.376	-265.186	-378.103	-271.455
May-01	-222.579	-514.824	-639.853	-274.015	-391.063	-279.300
Jun-01	-226.575	-522.988	-638.061	-279.004	-399.672	-283.485
Jul-01	-232.074	-535.134	-644.251	-286.176	-408.668	-290.561
Aug-01	-237.997	-549.039	-652.024	-294.424	-405.991	-298.517
Sep-01	-248.028	-569.594	-666.757	-306.299	-417.695	-310.295
Oct-01	-261.874	-595.130	-690.572	-320.869	-434.736	-325.098
Nov-01	-273.613	-615.483	-710.473	-331.293	-445.247	-336.514
Dec-01	-284.363	-633.269	-727.452	-340.778	-455.805	-346.623
Jan-02	-292.766	-648.533	-744.703	-348.511	-464.919	-354.559
Feb-02	-300.787	-663.629	-759.730	-355.529	-474.385	-361.939
Mar-02	-300.041	-661.842	-758.577	-351.736	-471.082	-359.106
Apr-02	-298.318	-659.209	-756.997	-346.876	-466.276	-355.081
May-02	-299.027	-664.050	-763.883	-347.071	-466.620	-355.840
Jun-02	-302.619	-674.149	-779.160	-349.511	-469.235	-358.906
Jul-02	-309.181	-689.089	-800.384	-353.806	-474.260	-363.428
Aug-02	-316.487	-706.325	-824.070	-358.983	-480.407	-368.607
Sep-02	-329.323	-723.857	-849.965	-360.136	-481.060	-370.375
Oct-02	-340.224	-745.721	-881.262	-366.624	-486.777	-377.056
Nov-02	-349.247	-765.005	-906.939	-372.823	-492.689	-383.607
Dec-02	-359.522	-790.050	-942.028	-382.072	-502.320	-392.597
Jan-03	-366.515	-812.805	-977.139	-391.843	-515.991	-401.235
Feb-03	-373.230	-836.385	-1006.744	-400.855	-529.949	-409.302
Mar-03	-376.649	-852.567	-1024.136	-404.722	-536.850	-412.581
Apr-03	-380.295	-870.043	-1047.703	-409.973	-545.176	-417.047
May-03	-387.339	-894.642	-1079.805	-418.262	-556.864	-424.327
Jun-03	-391.967	-915.750	-1106.149	-424.586	-566.764	-429.759
Jul-03	-393.330	-924.308	-1118.735	-425.280	-568.910	-430.356
Aug-03	-392.577	-925.642	-1121.917	-422.057	-566.266	-427.393
Sep-03	-394.927	-938.854	-1140.058	-424.739	-571.135	-429.635
Oct-03	-395.262	-944.626	-1149.813	-423.910	-571.640	-428.828
Nov-03	-393.168	-940.538	-1146.265	-418.205	-565.871	-423.311
Dec-03	-391.567	-940.613	-1147.175	-414.975	-562.837	-420.263

Figure 6b. Trace Cumulative Squared Prediction Errors, 6-Month Forecast Horizon, 1989 - 2003: Macro Models

Data for Figure 6b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-89	-1.077	3.282	8.146	7.494	6.428	6.156
Jul-89	-3.951	5.180	19.245	15.043	11.677	6.885
Aug-89	-4.229	10.845	31.276	25.931	19.444	16.232
Sep-89	-0.264	14.843	44.340	36.586	28.971	22.771
Oct-89	1.150	16.157	53.117	42.625	35.066	24.193
Nov-89	-0.543	16.751	60.422	47.266	35.470	23.015
Dec-89	0.068	16.827	61.398	47.945	35.569	22.157
Jan-90	-0.815	19.032	61.899	48.990	39.240	25.999
Feb-90	-1.039	19.071	55.329	44.808	38.471	25.932
Mar-90	-1.158	18.876	45.598	38.460	37.194	25.196
Apr-90	-1.088	20.408	34.185	30.702	38.378	28.766
May-90	-3.396	20.097	21.164	20.152	37.826	26.717
Jun-90	-4.703	19.741	10.206	11.499	36.560	24.341
Jul-90	-4.077	20.076	8.429	10.798	37.337	24.717
Aug-90	-4.286	20.511	6.239	9.925	37.638	25.299
Sep-90	-4.307	21.281	7.777	12.236	39.781	27.161
Oct-90	-1.627	23.289	15.117	19.210	45.470	32.307
Nov-90	1.472	24.598	20.274	24.242	48.612	35.735
Dec-90	1.019	25.244	27.924	30.989	50.039	38.020
Jan-91	2.395	24.913	31.804	34.411	49.667	37.571
Feb-91	9.910	23.147	31.573	34.483	49.668	37.978
Mar-91	17.975	21.695	28.463	33.351	49.008	38.681
Apr-91	24.300	20.222	21.468	30.159	42.921	38.624
May-91	28.158	19.996	20.191	31.313	37.537	39.614
Jun-91	28.699	20.078	20.307	32.509	35.381	40.504
Jul-91	28.822	19.975	19.812	33.298	34.895	41.345
Aug-91	30.794	19.249	19.580	34.908	33.866	43.055
Sep-91	30.991	17.262	19.961	38.055	34.183	44.760
Oct-91	33.212	15.631	20.826	41.628	34.603	47.458
Nov-91	35.479	13.541	20.003	45.261	32.460	49.880
Dec-91	41.457	10.400	16.411	48.831	30.305	53.305
Jan-92	45.190	7.179	9.268	47.428	22.335	52.673
Feb-92	46.924	3.893	0.310	43.683	11.944	47.650
Mar-92	47.851	3.321	-0.734	44.617	8.267	47.888
Apr-92	48.270	2.520	-4.960	43.769	3.482	47.292
May-92	48.530	1.443	-10.300	41.756	-1.554	46.468
Jun-92	45.862	1.672	-12.402	41.779	-2.492	46.936
Jul-92	50.528	-2.265	-26.835	34.876	-9.275	43.322
Aug-92	55.364	-6.789	-40.668	28.319	-18.365	36.725
Sep-92	59.924	-12.869	-61.277	17.835	-27.773	31.924
Oct-92	64.621	-17.195	-83.521	6.394	-35.687	26.805
Nov-92	66.423	-19.572	-96.941	0.014	-42.472	23.439
Dec-92	67.923	-22.448	-113.966	-8.277	-52.254	18.525
Jan-93	68.286	-24.638	-126.183	-12.634	-58.397	16.225
Feb-93	70.042	-28.183	-144.636	-20.496	-70.112	12.174
Mar-93	70.374	-29.537	-157.875	-24.489	-76.971	9.957
Apr-93	73.253	-33.065	-171.498	-29.022	-85.430	7.594
May-93	71.670	-36.290	-183.804	-32.978	-93.877	4.100
Jun-93	71.753	-39.861	-197.955	-37.769	-104.282	0.575
Jul-93	69.807	-42.452	-211.539	-43.065	-114.132	-6.254
Aug-93	71.394	-44.803	-223.223	-47.163	-122.671	-10.547
Sep-93	73.138	-47.105	-233.497	-50.159	-127.408	-13.164
Oct-93	73.069	-48.822	-240.886	-51.992	-130.868	-14.945
Nov-93	73.271	-49.717	-243.109	-51.918	-131.977	-15.008
Dec-93	72.673	-49.675	-243.136	-52.296	-132.138	-15.067
Jan-94	72.653	-50.333	-243.313	-52.374	-132.808	-15.220
Feb-94	69.636	-48.014	-243.662	-57.079	-131.317	-16.406
Mar-94	65.651	-44.118	-246.063	-66.780	-131.800	-17.041
Apr-94	60.681	-39.689	-251.213	-79.806	-133.059	-20.229
May-94	53.941	-35.589	-249.671	-86.941	-134.419	-21.757
Jun-94	47.224	-31.349	-247.994	-95.388	-136.119	-25.128
Jul-94	44.697	-26.805	-246.924	-104.735	-136.008	-28.858
Aug-94	41.265	-24.911	-250.471	-115.248	-139.059	-36.488
Sep-94	45.604	-23.030	-251.011	-122.185	-141.484	-39.273
Oct-94	48.616	-23.146	-257.104	-132.104	-147.171	-45.127
Nov-94	43.839	-24.560	-269.703	-147.399	-157.622	-59.399
Dec-94	42.252	-25.707	-279.208	-160.383	-166.900	-73.959
Jan-95	39.296	-26.072	-286.647	-170.864	-174.535	-84.338
Feb-95	38.792	-25.855	-289.969	-175.642	-178.182	-88.954
Mar-95	40.175	-25.062	-289.841	-176.266	-176.979	-88.877
Apr-95	41.589	-23.654	-286.796	-173.234	-172.797	-85.721
May-95	45.973	-18.315	-269.308	-156.072	-155.642	-69.134
Jun-95	51.466	-9.278	-244.112	-130.912	-132.216	-44.553
Jul-95	57.908	-5.528	-230.751	-118.020	-118.793	-31.742
Aug-95	61.052	-3.989	-223.731	-111.211	-111.725	-25.026
Sep-95	65.433	-2.718	-216.106	-103.898	-103.559	-17.780
Oct-95	69.878	-1.936	-208.935	-97.099	-96.487	-12.155
Nov-95	71.005	-2.314	-208.419	-96.458	-95.194	-11.549
Dec-95	71.887	-2.475	-205.317	-93.394	-92.443	-9.200
Jan-96	74.497	-2.757	-200.416	-88.683	-87.714	-5.298
Feb-96	74.506	-2.647	-200.187	-88.000	-86.283	-4.533
Mar-96	74.238	-2.498	-205.799	-91.966	-87.497	-6.561
Apr-96	72.553	-2.232	-215.724	-99.519	-90.736	-11.599
May-96	65.883	-1.255	-228.598	-109.603	-96.326	-18.381
Jun-96	64.256	-1.049	-249.635	-127.635	-100.507	-26.108
Jul-96	61.043	0.507	-262.457	-140.007	-104.846	-30.965
Aug-96	60.002	1.246	-270.099	-148.125	-109.180	-34.152
Sep-96	59.066	1.191	-277.386	-154.402	-113.620	-37.345
Oct-96	59.639	1.416	-279.376	-155.917	-114.135	-37.920
Nov-96	59.933	2.154	-275.986	-152.378	-109.912	-35.287
Dec-96	60.406	2.406	-277.253	-153.218	-109.943	-35.607
Jan-97	61.204	2.802	-277.557	-153.032	-109.389	-35.062
Feb-97	62.123	3.121	-277.794	-152.873	-108.952	-34.834
Mar-97	59.843	2.638	-284.839	-159.202	-114.636	-39.611
Apr-97	58.276	2.463	-291.739	-165.264	-118.353	-43.071
May-97	57.695	2.490	-301.145	-172.736	-121.492	-45.712
Jun-97	57.476	2.314	-305.453	-176.476	-123.803	-47.542
Jul-97	58.064	2.317	-305.971	-176.762	-123.411	-47.763
Aug-97	58.260	2.374	-307.749	-178.142	-124.257	-48.464
Sep-97	59.594	3.201	-303.345	-173.843	-119.609	-45.075
Oct-97	62.671	4.376	-299.041	-169.344	-114.760	-41.223
Nov-97	64.907	5.388	-298.054	-167.591	-111.878	-39.301
Dec-97	66.530	5.838	-297.502	-166.294	-109.499	-37.195
Jan-98	67.916	6.061	-299.013	-166.500	-108.429	-37.002
Feb-98	68.452	6.449	-298.720	-165.223	-106.000	-35.142
Mar-98	69.088	6.738	-302.595	-167.115	-105.851	-35.527
Apr-98	69.233	6.767	-307.370	-169.789	-107.009	-36.830
May-98	69.563	7.002	-310.213	-170.733	-106.826	-36.827
Jun-98	69.971	7.097	-313.844	-172.240	-106.955	-37.233
Jul-98	69.754	7.120	-320.488	-176.000	-108.169	-38.773
Aug-98	71.138	7.437	-319.004	-173.447	-105.267	-36.279
Sep-98	75.113	8.159	-305.960	-162.876	-95.479	-28.982
Oct-98	75.789	9.340	-293.839	-152.216	-88.175	-22.481
Nov-98	76.791	10.688	-287.101	-145.227	-83.207	-16.886
Dec-98	81.443	11.907	-280.807	-138.808	-76.961	-11.008
Jan-99	86.745	13.419	-273.682	-131.527	-70.105	-3.926
Feb-99	85.621	13.758	-281.499	-136.219	-71.706	-6.350
Mar-99	82.735	14.296	-300.060	-150.041	-76.753	-14.762
Apr-99	80.370	15.377	-313.138	-160.051	-79.767	-20.418
May-99	80.518	16.609	-329.486	-170.795	-82.058	-24.072
Jun-99	79.045	17.377	-352.071	-185.922	-87.543	-31.936
Jul-99	77.968	18.624	-374.480	-200.318	-95.115	-36.692
Aug-99	75.485	18.201	-389.880	-210.787	-104.608	-43.144
Sep-99	72.648	18.448	-400.831	-218.269	-111.984	-47.570
Oct-99	71.179	18.563	-412.800	-226.613	-117.857	-52.519
Nov-99	67.861	17.972	-425.387	-236.134	-124.930	-58.871
Dec-99	67.723	17.470	-437.494	-244.779	-129.520	-63.261
Jan-00	71.081	17.242	-449.445	-253.209	-133.979	-65.481
Feb-00	69.779	16.326	-461.026	-261.299	-138.535	-70.696
Mar-00	67.817	15.884	-471.260	-268.229	-143.344	-75.803
Apr-00	66.814	15.060	-481.449	-275.591	-146.506	-79.926
May-00	65.611	14.308	-488.508	-280.522	-149.684	-83.166
Jun-00	65.863	14.299	-491.084	-281.777	-149.850	-83.616
Jul-00	66.368	14.760	-491.648	-281.090	-148.610	-82.513
Aug-00	66.796	15.114	-491.611	-280.090	-147.144	-81.280
Sep-00	67.108	15.579	-493.388	-280.116	-146.605	-80.838
Oct-00	67.262	16.856	-493.239	-278.071	-143.894	-78.183
Nov-00	68.929	20.407	-488.680	-270.838	-136.218	-70.312
Dec-00	69.832	21.773	-481.564	-264.392	-131.957	-66.220
Jan-01	75.483	23.595	-468.257	-254.537	-124.249	-58.983
Feb-01	78.681	24.142	-454.358	-244.927	-119.888	-53.516
Mar-01	79.889	24.884	-437.821	-232.897	-118.445	-46.851
Apr-01	78.661	26.051	-421.352	-221.189	-115.325	-41.294
May-01	85.576	28.284	-404.646	-207.750	-108.199	-31.914
Jun-01	91.594	30.505	-393.123	-197.177	-101.278	-23.005
Jul-01	94.821	30.419	-390.286	-193.120	-99.380	-19.235
Aug-01	95.997	29.920	-387.994	-189.106	-98.751	-16.717
Sep-01	93.091	27.779	-388.752	-185.153	-99.562	-14.908
Oct-01	89.552	24.019	-391.465	-180.081	-103.583	-12.455
Nov-01	86.765	21.312	-392.593	-174.984	-104.384	-10.271
Dec-01	88.385	19.914	-391.652	-169.473	-102.840	-5.469
Jan-02	86.679	18.435	-391.144	-165.300	-103.199	-3.599
Feb-02	82.649	17.139	-389.412	-161.224	-104.810	-2.420
Mar-02	84.063	19.806	-383.979	-157.298	-100.055	1.657
Apr-02	86.962	23.574	-377.728	-152.085	-94.140	7.075
May-02	87.145	24.035	-377.301	-151.841	-93.546	7.611
Jun-02	87.171	22.965	-379.868	-152.183	-94.508	7.105
Jul-02	87.461	21.064	-382.226	-151.552	-96.009	6.720
Aug-02	85.624	18.358	-385.428	-152.203	-99.720	4.371
Sep-02	78.833	16.331	-382.904	-146.425	-100.282	3.836
Oct-02	77.390	12.542	-391.214	-150.520	-105.528	-2.052
Nov-02	78.523	9.522	-399.490	-155.207	-109.365	-8.068
Dec-02	78.066	4.339	-415.282	-165.678	-118.257	-18.673
Jan-03	77.768	-0.095	-433.688	-178.232	-129.498	-28.184
Feb-03	79.261	-4.094	-448.155	-187.967	-138.831	-36.000
Mar-03	79.372	-5.320	-454.492	-191.393	-141.625	-38.062
Apr-03	79.430	-7.514	-466.550	-197.991	-146.435	-42.641
May-03	80.417	-12.541	-487.250	-208.862	-155.099	-49.392
Jun-03	78.324	-16.490	-506.944	-219.343	-165.074	-57.236
Jul-03	76.345	-16.681	-517.053	-223.117	-169.650	-60.657
Aug-03	77.376	-13.950	-518.786	-220.991	-167.733	-58.217
Sep-03	76.963	-15.432	-536.557	-228.487	-173.581	-62.230
Oct-03	77.310	-14.472	-545.531	-230.148	-174.744	-61.922
Nov-03	79.215	-9.757	-539.201	-223.903	-168.562	-55.775
Dec-03	80.497	-6.675	-537.117	-220.435	-166.310	-52.342

Figure 7a. Trace Cumulative Squared Prediction Errors, 12-Month Forecast Horizon, 1989 - 2003: Yield-Only Models

Data for Figure 7a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jul-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Aug-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Sep-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Oct-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Nov-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Dec-89	-1.879	2.412	7.790	2.335	0.494	1.297
Jan-90	-2.700	1.234	11.077	0.089	-1.691	-1.959
Feb-90	-1.890	7.320	20.562	5.529	0.634	2.875
Mar-90	0.438	11.995	30.253	7.884	3.786	3.298
Apr-90	1.197	12.853	31.676	8.003	3.927	2.951
May-90	1.838	11.742	34.325	5.623	-0.183	-0.174
Jun-90	2.665	9.678	35.447	3.977	-1.046	-2.210
Jul-90	4.718	8.525	37.645	3.671	-1.960	-2.475
Aug-90	5.448	8.963	39.353	4.294	-1.808	-2.323
Sep-90	5.725	8.980	41.844	4.159	-9.341	-2.762
Oct-90	6.860	8.727	44.752	4.180	-10.626	-2.775
Nov-90	5.957	4.943	45.611	1.957	-15.374	-5.047
Dec-90	2.303	-2.847	46.271	-3.606	-24.797	-10.850
Jan-91	-2.340	-11.488	45.769	-11.476	-63.230	-19.385
Feb-91	-6.572	-19.905	44.550	-19.914	-71.956	-29.005
Mar-91	-10.027	-25.490	47.391	-25.498	-77.673	-36.391
Apr-91	-12.647	-24.979	53.557	-25.934	-78.967	-38.837
May-91	-17.638	-31.775	54.165	-32.176	-88.477	-46.169
Jun-91	-22.099	-40.033	51.359	-40.623	-135.038	-54.805
Jul-91	-28.138	-52.364	41.840	-52.724	-150.211	-66.356
Aug-91	-36.703	-68.384	17.162	-70.844	-169.618	-83.721
Sep-91	-48.247	-87.510	-12.163	-90.813	-192.635	-102.310
Oct-91	-62.219	-110.874	-45.791	-114.221	-225.719	-122.847
Nov-91	-79.510	-139.834	-73.099	-139.086	-265.721	-145.359
Dec-91	-105.421	-181.437	-114.119	-168.835	-309.388	-173.551
Jan-92	-128.094	-220.995	-156.031	-197.432	-343.343	-201.229
Feb-92	-150.359	-257.248	-193.486	-220.595	-373.987	-224.243
Mar-92	-169.641	-289.561	-228.653	-240.038	-393.778	-245.100
Apr-92	-191.529	-325.775	-268.896	-261.019	-417.691	-266.976
May-92	-215.410	-364.708	-316.151	-284.188	-447.918	-290.252
Jun-92	-241.896	-405.034	-370.839	-308.169	-478.806	-314.250
Jul-92	-273.823	-456.219	-442.756	-341.901	-523.389	-346.347
Aug-92	-307.978	-517.700	-523.063	-382.060	-576.769	-384.125
Sep-92	-346.996	-591.240	-605.412	-426.711	-637.419	-426.407
Oct-92	-377.739	-653.293	-684.568	-463.790	-675.463	-460.081
Nov-92	-400.206	-703.326	-749.059	-487.478	-682.026	-481.547
Dec-92	-419.144	-757.164	-804.048	-506.564	-709.528	-499.978
Jan-93	-447.914	-821.296	-887.796	-532.579	-793.024	-524.383
Feb-93	-481.028	-890.701	-976.243	-560.887	-832.321	-551.348
Mar-93	-515.022	-954.376	-1059.880	-585.258	-865.393	-575.906
Apr-93	-547.823	-1017.284	-1148.102	-605.334	-895.362	-595.015
May-93	-575.185	-1076.642	-1226.560	-625.786	-927.217	-614.327
Jun-93	-604.055	-1144.162	-1316.352	-649.938	-965.294	-635.919
Jul-93	-625.444	-1207.827	-1385.341	-665.958	-992.827	-650.809
Aug-93	-648.860	-1279.924	-1470.409	-686.141	-996.339	-668.431
Sep-93	-666.627	-1349.103	-1547.692	-699.310	-1022.742	-679.494
Oct-93	-689.436	-1412.512	-1618.832	-711.914	-1046.663	-690.884
Nov-93	-711.378	-1466.765	-1677.534	-723.329	-1066.871	-702.242
Dec-93	-730.716	-1521.633	-1733.474	-733.725	-1085.970	-712.664
Jan-94	-748.068	-1581.599	-1790.454	-745.366	-1104.899	-723.836
Feb-94	-749.986	-1614.877	-1814.564	-745.490	-1110.067	-723.861
Mar-94	-742.284	-1625.291	-1816.603	-737.126	-1101.243	-715.949
Apr-94	-724.277	-1612.690	-1799.118	-718.173	-1080.634	-697.734
May-94	-706.476	-1597.565	-1778.955	-701.125	-1061.680	-680.997
Jun-94	-681.379	-1567.192	-1744.481	-676.624	-1033.524	-656.526
Jul-94	-659.710	-1544.787	-1717.142	-656.474	-1016.696	-636.187
Aug-94	-629.272	-1502.841	-1675.581	-625.321	-981.847	-604.796
Sep-94	-590.460	-1438.773	-1621.512	-587.067	-939.237	-565.707
Oct-94	-549.563	-1367.947	-1564.752	-546.620	-894.597	-524.307
Nov-94	-506.164	-1292.876	-1501.001	-505.281	-848.096	-482.544
Dec-94	-461.425	-1214.466	-1435.353	-463.938	-801.336	-440.440
Jan-95	-415.721	-1134.499	-1372.424	-421.384	-752.536	-396.781
Feb-95	-388.566	-1095.255	-1338.757	-397.627	-725.461	-372.124
Mar-95	-370.068	-1070.662	-1316.668	-382.484	-709.137	-356.277
Apr-95	-360.532	-1059.214	-1306.214	-372.830	-697.126	-346.148
May-95	-361.211	-1061.760	-1305.826	-366.555	-690.974	-340.096
Jun-95	-364.394	-1065.627	-1307.514	-360.115	-684.854	-333.962
Jul-95	-365.807	-1070.907	-1308.993	-356.693	-681.463	-330.921
Aug-95	-370.635	-1081.764	-1314.778	-356.973	-683.535	-331.831
Sep-95	-378.090	-1090.686	-1320.891	-355.201	-682.503	-330.858
Oct-95	-387.707	-1100.135	-1327.570	-353.286	-682.539	-329.926
Nov-95	-399.231	-1110.593	-1320.775	-351.260	-679.342	-330.667
Dec-95	-412.498	-1121.377	-1297.999	-347.093	-678.116	-330.046
Jan-96	-427.723	-1145.104	-1294.731	-356.622	-686.838	-342.464
Feb-96	-440.338	-1171.497	-1300.728	-370.389	-701.706	-357.873
Mar-96	-450.363	-1193.832	-1306.910	-382.477	-712.947	-371.348
Apr-96	-457.973	-1212.899	-1312.525	-392.897	-724.078	-382.439
May-96	-458.146	-1222.098	-1310.776	-394.865	-729.086	-384.607
Jun-96	-458.844	-1232.852	-1309.738	-397.395	-733.646	-387.316
Jul-96	-459.727	-1242.618	-1310.415	-399.902	-737.359	-390.091
Aug-96	-458.088	-1247.040	-1307.483	-398.710	-737.602	-389.065
Sep-96	-458.607	-1257.015	-1306.079	-400.667	-741.306	-391.322
Oct-96	-460.918	-1273.470	-1306.447	-405.649	-748.786	-396.825
Nov-96	-463.308	-1294.680	-1307.657	-412.579	-758.032	-404.237
Dec-96	-458.779	-1298.239	-1302.429	-407.827	-755.696	-399.590
Jan-97	-452.590	-1298.503	-1294.460	-400.477	-749.910	-392.291
Feb-97	-450.300	-1303.778	-1291.933	-398.561	-748.788	-390.540
Mar-97	-447.499	-1305.007	-1288.553	-395.685	-746.640	-387.827
Apr-97	-448.582	-1312.107	-1288.983	-396.785	-748.148	-389.295
May-97	-452.310	-1322.614	-1291.337	-400.066	-751.072	-393.213
Jun-97	-455.848	-1333.897	-1293.229	-403.274	-754.554	-397.085
Jul-97	-463.515	-1352.746	-1297.999	-410.522	-760.786	-405.495
Aug-97	-469.627	-1367.052	-1302.010	-415.785	-764.890	-411.738
Sep-97	-476.365	-1384.521	-1306.769	-422.246	-770.600	-419.144
Oct-97	-482.535	-1405.549	-1312.218	-430.210	-778.997	-427.999
Nov-97	-485.635	-1422.948	-1314.152	-435.292	-784.802	-433.883
Dec-97	-492.084	-1443.315	-1318.758	-442.479	-791.689	-442.243
Jan-98	-501.748	-1469.806	-1326.686	-453.270	-800.815	-454.476
Feb-98	-510.359	-1492.722	-1331.990	-462.094	-807.749	-464.908
Mar-98	-520.270	-1513.579	-1336.776	-470.104	-812.225	-474.796
Apr-98	-530.140	-1535.673	-1340.839	-478.849	-819.734	-484.958
May-98	-539.970	-1557.722	-1344.270	-486.736	-828.011	-494.390
Jun-98	-549.491	-1582.225	-1349.538	-496.379	-834.451	-505.644
Jul-98	-556.598	-1607.756	-1353.173	-506.486	-843.527	-517.082
Aug-98	-570.461	-1642.847	-1359.937	-521.544	-855.733	-534.383
Sep-98	-590.163	-1692.137	-1366.936	-542.195	-874.792	-557.881
Oct-98	-608.511	-1744.030	-1373.806	-565.600	-897.565	-583.844
Nov-98	-624.541	-1789.966	-1376.315	-585.520	-915.760	-606.513
Dec-98	-640.001	-1837.983	-1380.354	-607.276	-937.163	-630.695
Jan-99	-653.852	-1886.796	-1386.564	-628.729	-958.698	-653.499
Feb-99	-662.030	-1917.483	-1388.036	-640.947	-970.682	-667.120
Mar-99	-671.605	-1950.233	-1389.993	-654.252	-981.685	-682.203
Apr-99	-680.183	-1978.324	-1390.383	-663.936	-992.002	-693.382
May-99	-684.643	-1996.955	-1389.830	-669.069	-999.551	-699.393
Jun-99	-687.111	-2012.166	-1388.907	-672.531	-1003.785	-703.509
Jul-99	-688.558	-2023.713	-1387.976	-674.467	-1007.086	-705.948
Aug-99	-682.510	-2021.383	-1382.998	-666.778	-1001.009	-698.050
Sep-99	-669.310	-2004.289	-1379.026	-650.837	-985.446	-681.312
Oct-99	-654.535	-1983.597	-1367.589	-632.624	-967.348	-662.584
Nov-99	-640.216	-1962.453	-1359.416	-614.809	-950.066	-643.996
Dec-99	-622.589	-1931.825	-1352.972	-593.890	-929.959	-621.672
Jan-00	-600.679	-1890.413	-1344.815	-567.882	-906.795	-593.790
Feb-00	-587.933	-1872.163	-1341.100	-555.182	-896.849	-580.133
Mar-00	-575.001	-1856.222	-1333.919	-542.130	-885.794	-566.532
Apr-00	-561.918	-1838.551	-1327.038	-529.240	-874.286	-552.839
May-00	-554.116	-1830.044	-1324.762	-522.915	-869.109	-545.663
Jun-00	-548.193	-1825.766	-1323.153	-517.663	-863.506	-540.027
Jul-00	-542.275	-1820.958	-1321.053	-511.892	-857.820	-533.957
Aug-00	-539.476	-1821.532	-1320.600	-508.359	-853.403	-530.544
Sep-00	-536.521	-1822.296	-1319.915	-504.813	-849.136	-527.126
Oct-00	-534.808	-1824.140	-1319.675	-501.544	-844.943	-524.048
Nov-00	-538.107	-1835.229	-1320.262	-503.320	-845.723	-526.752
Dec-00	-546.301	-1853.474	-1320.410	-509.120	-849.939	-534.132
Jan-01	-558.590	-1876.568	-1314.453	-517.611	-852.982	-545.403
Feb-01	-571.886	-1903.924	-1307.817	-528.827	-860.277	-559.642
Mar-01	-586.187	-1938.003	-1294.799	-544.333	-870.851	-578.238
Apr-01	-599.644	-1963.892	-1275.499	-553.261	-875.865	-590.895
May-01	-614.007	-1985.835	-1250.863	-556.991	-886.118	-598.380
Jun-01	-627.168	-2015.167	-1235.451	-570.260	-899.389	-614.343
Jul-01	-641.909	-2054.027	-1221.979	-592.305	-920.432	-638.208
Aug-01	-657.594	-2098.813	-1208.398	-618.135	-947.913	-666.020
Sep-01	-678.638	-2153.737	-1197.617	-651.125	-989.676	-699.815
Oct-01	-701.949	-2219.653	-1188.390	-693.255	-1041.257	-742.464
Nov-01	-722.253	-2276.752	-1178.641	-727.543	-1086.217	-776.270
Dec-01	-741.057	-2327.095	-1174.870	-753.434	-1122.558	-801.564
Jan-02	-762.016	-2378.621	-1188.444	-775.747	-1152.054	-823.786
Feb-02	-783.047	-2433.865	-1204.448	-799.421	-1141.032	-846.997
Mar-02	-797.693	-2470.480	-1214.914	-810.664	-1155.044	-858.361
Apr-02	-819.066	-2521.706	-1241.689	-829.588	-1178.634	-878.110
May-02	-840.826	-2575.046	-1272.093	-847.885	-1198.345	-897.769
Jun-02	-865.708	-2634.357	-1306.254	-869.289	-1222.301	-920.107
Jul-02	-892.191	-2707.438	-1354.063	-896.995	-1253.941	-947.733
Aug-02	-919.662	-2787.260	-1400.333	-924.531	-1288.237	-975.322
Sep-02	-945.772	-2883.209	-1464.910	-950.898	-1323.355	-1000.513
Oct-02	-965.016	-2973.546	-1521.368	-970.399	-1349.703	-1019.294
Nov-02	-984.359	-3050.667	-1573.070	-985.033	-1366.479	-1034.542
Dec-02	-1010.701	-3139.345	-1642.111	-1001.757	-1384.680	-1052.253
Jan-03	-1035.927	-3222.654	-1702.463	-1017.782	-1402.683	-1069.373
Feb-03	-1062.124	-3312.589	-1765.549	-1035.267	-1422.567	-1087.627
Mar-03	-1092.330	-3392.436	-1819.805	-1047.311	-1433.059	-1101.941
Apr-03	-1119.393	-3477.923	-1882.953	-1063.710	-1448.417	-1119.746
May-03	-1149.101	-3572.689	-1951.795	-1082.023	-1466.576	-1138.764
Jun-03	-1176.992	-3671.491	-2026.239	-1102.993	-1489.245	-1159.985
Jul-03	-1192.455	-3747.111	-2085.692	-1117.696	-1510.844	-1173.963
Aug-03	-1203.138	-3812.458	-2122.763	-1126.290	-1525.437	-1182.489
Sep-03	-1213.902	-3894.167	-2159.903	-1135.894	-1541.761	-1191.289
Oct-03	-1221.111	-3959.284	-2196.751	-1141.236	-1552.586	-1196.072
Nov-03	-1229.848	-4022.315	-2232.290	-1147.748	-1562.557	-1202.632
Dec-03	-1235.003	-4084.225	-2262.749	-1150.807	-1569.708	-1205.495

Figure 7b. Trace Cumulative Squared Prediction Errors, 12-Month Forecast Horizon, 1989 - 2003: Macro Models

Notes: Figures 6 and 7 show the Trace Cumulative Squared Prediction Error [TCSPE], relative to the random walk, of individual yield-only models in Panel (a), and individual models with macro factors in Panel (b). Figure 6 shows TCSPEs for a 6-month forecast horizon whereas Figure 7 does so for a 12-month horizon. The forecast sample is 1989:1 - 2003:12.

Data for Figure 7b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jul-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Aug-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Sep-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Oct-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Nov-89	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Dec-89	-2.802	3.555	12.466	10.347	4.801	6.504
Jan-90	-5.188	4.560	17.187	14.305	5.944	6.607
Feb-90	-5.654	9.617	26.720	23.937	11.792	14.440
Mar-90	-2.291	13.252	36.236	33.595	19.584	20.854
Apr-90	-1.712	13.886	35.301	34.767	20.719	22.148
May-90	-2.220	14.819	36.870	37.547	21.249	22.760
Jun-90	-1.667	15.736	34.118	36.857	22.485	23.801
Jul-90	-1.255	17.471	30.209	35.482	25.072	25.966
Aug-90	-1.666	18.295	16.488	29.395	26.549	28.039
Sep-90	-2.131	19.391	4.828	25.832	29.064	31.147
Oct-90	-2.283	21.011	-5.754	22.196	32.292	34.860
Nov-90	-2.642	21.724	-18.894	14.859	33.711	35.884
Dec-90	-1.259	23.069	-19.419	17.911	37.233	40.554
Jan-91	4.678	25.081	-6.602	31.235	45.272	49.168
Feb-91	12.858	27.093	12.186	48.951	56.161	60.917
Mar-91	15.294	29.195	35.032	69.329	67.719	69.489
Apr-91	24.999	33.796	67.197	97.381	85.463	86.953
May-91	34.421	37.138	90.683	118.746	96.645	99.862
Jun-91	35.808	38.435	107.726	134.252	100.863	106.494
Jul-91	38.553	38.402	119.241	144.239	102.339	109.540
Aug-91	51.386	35.755	128.266	151.768	105.916	115.480
Sep-91	67.820	32.820	131.846	157.512	108.769	122.403
Oct-91	78.876	29.122	126.622	158.380	99.698	125.656
Nov-91	87.652	27.281	130.715	167.646	87.161	129.206
Dec-91	95.321	24.596	134.282	180.134	73.143	133.884
Jan-92	108.414	21.573	139.286	192.987	72.588	140.023
Feb-92	117.088	19.746	148.326	207.556	72.053	147.098
Mar-92	118.620	17.271	156.783	219.118	73.117	150.018
Apr-92	123.359	15.019	165.864	231.148	75.287	154.708
May-92	129.096	11.488	171.017	241.099	73.673	157.575
Jun-92	138.464	7.097	171.979	248.755	72.475	160.180
Jul-92	147.713	0.055	163.783	248.874	59.476	156.672
Aug-92	152.984	-9.299	145.964	240.332	35.675	142.561
Sep-92	163.310	-17.913	137.435	238.732	14.170	133.608
Oct-92	168.028	-25.711	120.572	229.657	-5.220	122.685
Nov-92	170.449	-30.480	108.278	224.009	-16.895	118.112
Dec-92	169.396	-33.629	98.941	221.374	-22.961	115.420
Jan-93	177.712	-41.561	75.535	210.922	-32.565	110.279
Feb-93	187.401	-51.066	53.232	201.587	-45.907	100.862
Mar-93	194.139	-61.139	23.303	187.016	-57.738	93.073
Apr-93	204.137	-71.544	-22.774	165.282	-70.370	85.844
May-93	212.468	-79.691	-56.301	149.899	-85.362	78.990
Jun-93	219.914	-89.419	-96.585	131.375	-107.386	68.831
Jul-93	224.758	-94.939	-118.010	126.150	-116.484	66.600
Aug-93	230.749	-102.554	-148.222	116.517	-134.987	61.862
Sep-93	234.219	-108.115	-176.320	109.821	-151.295	57.667
Oct-93	241.072	-114.270	-194.788	108.132	-161.745	57.128
Nov-93	239.742	-120.225	-214.670	103.779	-176.506	50.639
Dec-93	239.944	-125.216	-234.131	98.942	-191.446	45.205
Jan-94	235.519	-130.499	-260.663	89.254	-213.519	31.118
Feb-94	234.654	-128.293	-262.765	91.645	-213.813	33.295
Mar-94	223.749	-122.148	-253.982	96.281	-206.805	37.472
Apr-94	202.708	-111.683	-237.185	101.371	-194.490	41.706
May-94	189.098	-103.280	-229.982	94.256	-188.340	39.859
Jun-94	179.854	-91.679	-227.174	78.800	-180.507	42.904
Jul-94	174.935	-82.417	-232.399	58.015	-175.634	41.771
Aug-94	162.783	-69.587	-246.279	27.451	-170.920	34.719
Sep-94	150.502	-54.272	-266.531	-12.583	-172.403	28.692
Oct-94	136.324	-39.200	-293.171	-57.144	-176.592	17.222
Nov-94	118.355	-24.510	-303.020	-90.646	-182.428	6.469
Dec-94	102.193	-9.693	-311.797	-125.904	-187.788	-6.653
Jan-95	96.187	6.056	-320.829	-161.605	-186.958	-18.230
Feb-95	89.936	13.089	-335.409	-192.187	-192.606	-32.964
Mar-95	98.670	18.681	-335.638	-204.428	-189.309	-31.786
Apr-95	104.888	21.555	-339.744	-214.426	-188.446	-32.425
May-95	108.506	23.699	-338.944	-215.179	-183.685	-30.750
Jun-95	114.032	26.286	-332.129	-209.429	-174.213	-23.648
Jul-95	116.275	27.586	-332.129	-211.586	-171.783	-24.101
Aug-95	119.234	28.242	-329.972	-210.268	-167.470	-21.514
Sep-95	123.328	30.017	-320.282	-199.708	-155.758	-10.731
Oct-95	129.353	32.533	-305.626	-182.684	-139.109	5.865
Nov-95	140.160	39.211	-272.642	-150.316	-107.311	35.580
Dec-95	154.529	50.943	-224.099	-102.659	-63.277	79.498
Jan-96	174.272	57.311	-185.018	-65.293	-25.818	114.515
Feb-96	182.973	59.158	-170.707	-50.820	-11.001	128.762
Mar-96	190.282	60.286	-164.228	-43.733	-1.811	136.798
Apr-96	194.004	60.932	-167.080	-45.118	1.225	138.991
May-96	191.701	62.107	-186.107	-60.556	-1.099	132.760
Jun-96	189.799	62.889	-208.734	-79.323	-5.058	126.220
Jul-96	186.790	63.371	-227.762	-96.528	-11.396	117.284
Aug-96	184.335	64.106	-252.193	-116.816	-18.730	108.754
Sep-96	182.138	64.666	-277.795	-136.294	-24.866	100.571
Oct-96	179.662	65.093	-301.990	-154.456	-30.125	91.880
Nov-96	173.990	65.728	-327.619	-173.876	-37.780	80.890
Dec-96	170.044	66.989	-370.691	-208.767	-44.238	68.467
Jan-97	163.401	69.447	-400.731	-235.558	-51.675	57.586
Feb-97	161.078	70.355	-416.652	-250.876	-56.779	51.965
Mar-97	156.118	70.716	-442.849	-273.086	-69.121	41.458
Apr-97	152.538	70.550	-460.502	-288.834	-79.587	32.805
May-97	152.723	70.576	-468.821	-295.601	-83.048	30.373
Jun-97	152.449	70.558	-477.755	-303.124	-86.808	26.439
Jul-97	155.220	70.791	-478.507	-302.851	-84.435	27.893
Aug-97	157.179	70.982	-481.165	-304.494	-84.236	27.721
Sep-97	158.827	71.056	-484.704	-307.232	-84.553	27.046
Oct-97	159.656	70.686	-490.670	-312.037	-85.308	24.792
Nov-97	159.525	70.491	-504.492	-322.501	-87.853	21.265
Dec-97	160.786	70.136	-508.616	-325.758	-87.418	20.275
Jan-98	163.806	69.584	-506.888	-323.732	-83.529	22.120
Feb-98	166.523	69.422	-506.066	-322.366	-79.914	24.247
Mar-98	170.843	69.905	-498.747	-314.870	-71.016	30.699
Apr-98	176.477	70.664	-495.059	-310.382	-64.529	35.531
May-98	182.071	71.620	-494.070	-307.964	-58.903	39.519
Jun-98	186.416	71.696	-495.190	-307.255	-54.515	43.248
Jul-98	187.741	71.443	-508.467	-315.628	-56.715	40.193
Aug-98	192.288	71.437	-500.109	-306.686	-46.725	48.237
Sep-98	200.054	71.727	-481.129	-288.740	-30.857	63.022
Oct-98	208.644	71.325	-467.187	-275.085	-17.994	73.566
Nov-98	213.646	71.229	-456.644	-264.007	-6.962	82.114
Dec-98	219.259	70.723	-448.317	-254.762	2.423	90.417
Jan-99	222.429	69.330	-445.634	-250.255	7.103	93.531
Feb-99	223.767	69.203	-456.073	-253.640	8.326	94.574
Mar-99	226.130	68.970	-461.426	-253.472	10.989	97.365
Apr-99	226.820	68.937	-470.145	-255.759	12.919	98.950
May-99	226.216	69.130	-489.514	-265.461	11.287	96.858
Jun-99	222.086	69.525	-515.422	-279.980	1.374	88.316
Jul-99	216.607	69.828	-544.983	-297.733	-9.817	77.480
Aug-99	209.483	71.913	-581.914	-321.948	-20.022	65.994
Sep-99	198.646	75.909	-641.930	-366.728	-38.827	41.319
Oct-99	189.021	80.641	-689.000	-402.918	-51.392	23.298
Nov-99	186.888	85.090	-741.309	-437.824	-59.171	13.814
Dec-99	179.954	89.541	-807.940	-482.104	-74.967	-4.480
Jan-00	173.520	95.327	-876.697	-526.454	-96.344	-19.301
Feb-00	162.987	96.420	-925.432	-560.286	-124.415	-39.531
Mar-00	152.970	98.202	-963.973	-587.796	-147.694	-55.514
Apr-00	147.262	100.024	-1000.857	-614.109	-164.231	-69.315
May-00	139.352	100.127	-1031.226	-637.342	-181.222	-84.015
Jun-00	138.886	100.442	-1052.904	-652.513	-188.015	-90.590
Jul-00	143.498	101.355	-1067.611	-662.054	-189.885	-90.753
Aug-00	143.089	101.555	-1081.801	-671.231	-193.942	-95.885
Sep-00	141.996	101.828	-1094.709	-679.516	-198.853	-101.187
Oct-00	142.239	102.210	-1105.589	-686.251	-200.287	-103.106
Nov-00	143.169	102.377	-1109.655	-687.740	-199.585	-102.816
Dec-00	145.837	102.777	-1102.792	-681.296	-193.179	-97.541
Jan-01	149.304	104.202	-1083.347	-665.477	-178.163	-86.002
Feb-01	151.337	105.269	-1063.006	-649.779	-166.722	-77.315
Mar-01	158.517	107.185	-1035.575	-628.441	-150.440	-64.863
Apr-01	160.151	110.624	-1006.926	-605.025	-133.681	-51.103
May-01	163.084	116.185	-972.745	-574.830	-118.104	-30.705
Jun-01	166.579	118.515	-942.724	-550.218	-105.024	-16.484
Jul-01	181.415	120.907	-904.857	-519.666	-82.155	7.066
Aug-01	191.155	122.416	-863.898	-488.466	-65.921	25.243
Sep-01	198.996	123.746	-807.283	-444.857	-54.055	46.945
Oct-01	202.045	123.689	-747.783	-403.502	-43.661	62.924
Nov-01	223.459	125.891	-690.642	-358.545	-18.910	92.298
Dec-01	243.426	128.450	-646.704	-320.601	5.023	121.032
Jan-02	254.237	128.211	-624.961	-298.178	17.773	138.494
Feb-02	258.705	127.080	-605.847	-277.837	24.586	150.080
Mar-02	258.302	127.399	-593.894	-264.774	30.068	158.478
Apr-02	255.159	124.305	-588.131	-254.733	28.090	161.224
May-02	251.942	120.585	-584.740	-246.243	26.756	162.510
Jun-02	254.317	116.681	-579.660	-235.248	29.200	168.586
Jul-02	248.095	110.034	-582.049	-230.770	18.728	162.130
Aug-02	237.490	102.561	-583.199	-226.616	3.311	153.297
Sep-02	227.721	92.235	-607.214	-235.290	-19.515	139.213
Oct-02	206.853	83.305	-634.691	-249.111	-56.058	112.038
Nov-02	202.162	76.533	-648.170	-253.149	-68.506	102.645
Dec-02	199.431	67.413	-668.530	-259.831	-79.059	94.242
Jan-03	197.967	59.473	-680.169	-263.297	-86.947	87.630
Feb-03	190.480	49.890	-696.160	-273.078	-102.297	73.185
Mar-03	176.691	41.784	-709.098	-281.395	-115.163	56.747
Apr-03	168.777	32.022	-739.054	-303.608	-132.362	35.125
May-03	164.821	20.806	-777.522	-332.261	-149.785	12.128
Jun-03	156.444	8.341	-825.476	-368.905	-175.369	-16.206
Jul-03	151.613	1.637	-863.356	-396.091	-195.228	-32.456
Aug-03	150.316	-1.222	-882.774	-409.353	-202.817	-38.196
Sep-03	149.016	-4.843	-900.403	-421.448	-210.252	-43.698
Oct-03	147.496	-6.111	-918.531	-431.021	-215.041	-47.138
Nov-03	146.252	-8.892	-939.810	-441.738	-220.813	-51.026
Dec-03	143.305	-9.443	-962.057	-452.065	-229.562	-56.738

Figure 8a. Trace Cumulative Squared Prediction Errors, 1-Month Forecast Horizon, 1994 - 2003: Yield-Only Models

Data for Figure 8a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-94	-0.332	-0.471	-1.159	-0.372	-0.496	-0.415
Feb-94	0.559	0.651	0.822	0.579	0.476	0.400
Mar-94	1.274	1.249	2.331	1.060	0.743	0.657
Apr-94	1.838	1.538	3.358	1.311	0.765	0.701
May-94	2.104	1.564	3.606	1.271	0.769	0.616
Jun-94	2.177	1.241	3.470	0.867	0.065	0.143
Jul-94	2.053	1.482	3.353	1.050	0.167	0.328
Aug-94	2.259	1.626	3.619	1.215	0.387	0.377
Sep-94	2.658	1.640	4.063	1.173	0.145	0.260
Oct-94	2.846	1.517	4.110	0.978	-0.135	0.059
Nov-94	3.247	1.572	4.427	1.047	0.357	0.015
Dec-94	3.246	1.230	3.898	0.446	-0.366	-0.429
Jan-95	3.225	2.234	4.711	1.355	0.463	0.513
Feb-95	2.973	2.493	5.084	1.571	0.761	0.692
Mar-95	2.980	2.501	5.147	1.642	0.805	0.662
Apr-95	2.837	2.295	5.022	1.489	0.793	0.412
May-95	2.267	1.363	4.221	0.642	0.525	-0.543
Jun-95	2.096	0.924	3.878	0.215	-0.064	-0.928
Jul-95	2.239	1.149	4.072	0.424	0.006	-0.708
Aug-95	2.092	0.719	3.705	0.077	-0.163	-1.114
Sep-95	1.999	0.433	3.503	-0.144	-0.301	-1.412
Oct-95	1.786	0.040	3.194	-0.536	-0.610	-1.821
Nov-95	1.524	-0.556	2.774	-1.009	-0.976	-2.456
Dec-95	1.143	-1.306	2.181	-1.789	-1.952	-3.109
Jan-96	1.019	-1.497	2.065	-1.929	-2.336	-3.274
Feb-96	1.498	-0.344	3.195	-0.860	-1.608	-2.113
Mar-96	1.825	0.151	3.816	-0.314	-1.312	-1.670
Apr-96	1.996	0.495	4.201	-0.009	-1.192	-1.337
May-96	2.164	0.573	4.385	0.116	-1.223	-1.316
Jun-96	2.012	0.471	4.278	0.046	-1.135	-1.477
Jul-96	2.123	0.549	4.343	0.118	-1.095	-1.454
Aug-96	2.203	0.529	4.398	0.127	-1.194	-1.512
Sep-96	1.967	0.295	4.204	-0.034	-1.107	-1.803
Oct-96	1.673	0.085	3.947	-0.176	-1.012	-2.068
Nov-96	1.437	-0.283	3.596	-0.471	-1.228	-2.477
Dec-96	1.701	0.099	3.935	-0.154	-1.032	-2.108
Jan-97	1.722	0.084	3.952	-0.145	-1.068	-2.160
Feb-97	1.815	0.126	4.062	-0.045	-1.028	-2.196
Mar-97	2.118	0.286	4.246	0.117	-1.086	-2.076
Apr-97	1.960	0.189	4.228	0.078	-0.931	-2.242
May-97	1.845	0.083	4.152	-0.073	-1.066	-2.359
Jun-97	1.748	0.108	4.265	0.064	-0.956	-2.417
Jul-97	1.423	-0.158	4.084	-0.060	-0.802	-2.725
Aug-97	1.641	0.094	4.271	0.148	-0.695	-2.429
Sep-97	1.396	-0.178	4.150	-0.075	-0.745	-2.732
Oct-97	1.213	-0.254	4.137	-0.076	-0.666	-2.882
Nov-97	1.293	-0.227	4.173	0.003	-0.605	-2.933
Dec-97	1.172	-0.382	4.151	-0.070	-0.621	-3.166
Jan-98	0.853	-0.865	4.047	-0.436	-0.928	-3.662
Feb-98	1.011	-0.691	4.185	-0.223	-0.776	-3.558
Mar-98	1.015	-0.821	4.219	-0.222	-0.791	-3.637
Apr-98	0.926	-0.926	4.313	-0.296	-0.712	-3.690
May-98	0.835	-1.036	4.229	-0.458	-0.954	-3.857
Jun-98	0.785	-0.984	4.337	-0.313	-0.917	-3.868
Jul-98	0.765	-1.026	4.328	-0.385	-1.020	-3.903
Aug-98	0.213	-1.424	4.521	-0.634	-1.208	-4.367
Sep-98	-0.588	-2.748	3.975	-1.825	-2.563	-5.627
Oct-98	-0.601	-2.766	3.887	-1.973	-3.014	-5.609
Nov-98	-0.316	-2.384	4.128	-1.619	-2.558	-5.368
Dec-98	-0.375	-2.560	4.095	-1.714	-2.736	-5.559
Jan-99	-0.459	-2.756	4.070	-1.794	-2.855	-5.738
Feb-99	0.202	-1.782	4.544	-1.026	-2.393	-4.815
Mar-99	0.049	-2.087	4.495	-1.176	-2.453	-5.073
Apr-99	0.079	-2.094	4.565	-1.112	-2.438	-5.153
May-99	0.376	-1.870	4.776	-0.912	-2.408	-5.046
Jun-99	0.483	-1.807	4.756	-0.896	-2.403	-5.045
Jul-99	0.550	-1.917	4.726	-0.972	-2.532	-5.196
Aug-99	0.665	-1.891	4.609	-1.042	-2.699	-5.246
Sep-99	0.538	-2.004	4.601	-1.103	-2.876	-5.395
Oct-99	0.653	-1.989	4.483	-1.196	-2.994	-5.450
Nov-99	0.853	-1.866	4.299	-1.192	-2.805	-5.376
Dec-99	1.036	-1.835	4.141	-1.223	-2.810	-5.354
Jan-00	1.236	-1.790	4.072	-1.116	-2.694	-5.374
Feb-00	1.198	-1.823	4.135	-1.032	-2.606	-5.475
Mar-00	1.101	-1.736	4.357	-0.782	-2.427	-5.552
Apr-00	1.167	-1.864	4.131	-0.920	-2.564	-5.578
May-00	1.095	-2.171	3.861	-1.452	-3.106	-5.818
Jun-00	1.100	-0.996	4.472	-0.360	-1.760	-4.768
Jul-00	1.123	-0.857	4.313	-0.187	-1.460	-4.760
Aug-00	0.990	-1.177	4.372	-0.334	-1.537	-5.117
Sep-00	0.931	-1.206	4.467	-0.416	-1.663	-5.153
Oct-00	0.898	-1.359	4.335	-0.561	-1.731	-5.484
Nov-00	0.656	-2.108	4.168	-1.219	-2.487	-6.340
Dec-00	0.299	-3.201	3.800	-2.258	-3.788	-7.419
Jan-01	-0.101	-3.913	3.596	-2.889	-4.961	-7.719
Feb-01	-0.297	-4.625	3.010	-3.455	-5.384	-8.412
Mar-01	-0.610	-5.149	2.454	-3.859	-4.976	-8.677
Apr-01	-0.590	-4.496	2.995	-3.247	-4.356	-8.007
May-01	-0.797	-4.697	2.639	-3.378	-4.661	-8.306
Jun-01	-0.790	-4.707	2.570	-3.374	-4.655	-8.470
Jul-01	-1.199	-5.376	1.405	-3.912	-5.131	-9.170
Aug-01	-1.508	-6.060	0.248	-4.488	-5.604	-9.884
Sep-01	-2.573	-7.562	-2.244	-5.583	-7.050	-11.243
Oct-01	-3.291	-8.949	-5.042	-6.722	-8.484	-12.523
Nov-01	-3.057	-7.738	-3.718	-5.676	-7.351	-11.947
Dec-01	-2.920	-7.502	-3.397	-5.524	-7.115	-12.388
Jan-02	-2.885	-7.482	-3.664	-5.557	-7.148	-12.821
Feb-02	-3.080	-7.742	-4.560	-5.747	-7.371	-13.412
Mar-02	-2.517	-7.026	-2.911	-5.300	-6.638	-13.590
Apr-02	-2.978	-7.263	-4.064	-5.373	-6.731	-14.236
May-02	-3.132	-7.435	-4.711	-5.464	-6.842	-14.703
Jun-02	-3.486	-7.917	-6.121	-5.845	-7.177	-15.372
Jul-02	-3.985	-8.853	-8.445	-6.541	-7.938	-15.976
Aug-02	-4.310	-10.015	-10.835	-7.503	-8.981	-16.767
Sep-02	-4.938	-11.911	-14.312	-8.992	-11.155	-17.999
Oct-02	-4.946	-11.830	-14.618	-8.844	-11.426	-17.803
Nov-02	-4.757	-10.750	-13.665	-7.837	-10.936	-17.024
Dec-02	-5.307	-12.114	-16.662	-8.889	-12.286	-17.776
Jan-03	-5.216	-11.920	-16.702	-8.634	-12.239	-17.603
Feb-03	-5.484	-12.996	-18.824	-9.429	-13.177	-18.207
Mar-03	-5.540	-13.149	-19.458	-9.457	-13.521	-18.242
Apr-03	-5.582	-13.436	-20.236	-9.587	-13.840	-18.379
May-03	-5.956	-15.025	-23.080	-10.770	-15.308	-19.255
Jun-03	-6.088	-15.138	-23.793	-10.818	-16.031	-19.221
Jul-03	-5.492	-13.457	-21.092	-9.434	-14.980	-18.092
Aug-03	-5.401	-13.300	-21.241	-9.259	-14.878	-18.060
Sep-03	-5.956	-14.584	-24.442	-10.202	-16.193	-18.716
Oct-03	-5.665	-13.827	-23.377	-9.518	-15.543	-18.252
Nov-03	-5.610	-13.735	-23.549	-9.394	-15.496	-18.253
Dec-03	-5.808	-14.085	-24.683	-9.637	-15.854	-18.512

Figure 8b. Trace Cumulative Squared Prediction Errors, 1-Month Forecast Horizon, 1994 - 2003: Macro Models

Data for Figure 8b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-94	0.056	-0.058	-0.182	0.037	-0.064	-0.022
Feb-94	0.259	0.394	0.320	-0.217	-0.039	-0.636
Mar-94	-0.093	-0.137	0.232	-0.933	-0.637	-2.371
Apr-94	0.255	0.060	0.286	-1.341	-1.081	-3.564
May-94	0.673	0.202	-0.071	-1.886	-1.429	-5.330
Jun-94	0.540	-0.590	-0.722	-2.684	-2.326	-7.314
Jul-94	0.621	-0.195	-0.429	-2.341	-1.987	-7.334
Aug-94	0.651	-0.386	-0.582	-2.587	-2.126	-8.620
Sep-94	0.523	-1.153	-1.259	-3.482	-3.305	-11.265
Oct-94	0.673	-1.427	-1.769	-4.107	-3.965	-12.075
Nov-94	1.009	-1.642	-2.283	-4.753	-4.185	-13.579
Dec-94	0.992	-2.422	-3.357	-5.812	-5.162	-15.857
Jan-95	1.125	-1.403	-2.603	-4.863	-3.922	-16.370
Feb-95	1.571	-0.144	-1.363	-3.697	-2.708	-14.875
Mar-95	1.563	-0.261	-1.549	-3.817	-2.792	-15.535
Apr-95	1.646	-0.116	-1.339	-3.599	-2.539	-15.405
May-95	2.561	1.027	-0.176	-2.529	-1.245	-14.522
Jun-95	2.575	1.108	0.002	-2.363	-1.262	-14.393
Jul-95	2.501	1.034	-0.375	-2.702	-1.519	-14.962
Aug-95	2.521	0.968	-0.328	-2.661	-1.398	-15.100
Sep-95	2.510	0.906	-0.403	-2.724	-1.400	-15.644
Oct-95	2.451	0.990	-0.254	-2.554	-1.224	-15.538
Nov-95	2.532	1.110	-0.110	-2.342	-0.888	-15.350
Dec-95	2.904	1.743	0.579	-1.716	-0.511	-14.724
Jan-96	2.942	1.848	0.549	-1.648	-0.320	-14.698
Feb-96	3.027	2.300	0.264	-2.075	-0.596	-14.252
Mar-96	2.937	2.111	-0.025	-2.497	-1.187	-14.576
Apr-96	2.943	2.146	-0.394	-2.895	-1.648	-14.990
May-96	2.853	1.710	-1.023	-3.532	-2.408	-16.015
Jun-96	2.685	1.750	-0.843	-3.345	-2.211	-16.073
Jul-96	2.800	1.697	-1.328	-3.801	-2.609	-17.202
Aug-96	2.766	1.387	-1.783	-4.225	-3.127	-18.019
Sep-96	2.865	1.673	-1.363	-3.818	-2.649	-17.695
Oct-96	3.115	2.203	-0.838	-3.258	-2.061	-17.155
Nov-96	3.223	2.367	-0.650	-3.051	-1.853	-17.450
Dec-96	3.183	2.093	-1.301	-3.673	-2.193	-17.718
Jan-97	3.189	2.070	-1.503	-3.859	-2.352	-18.057
Feb-97	3.184	1.887	-1.750	-4.111	-2.700	-18.572
Mar-97	3.238	1.446	-2.592	-4.937	-3.613	-19.971
Apr-97	3.260	1.633	-2.320	-4.674	-3.314	-19.943
May-97	3.294	1.685	-2.301	-4.665	-3.299	-20.248
Jun-97	3.399	1.817	-2.155	-4.457	-3.023	-20.354
Jul-97	3.633	2.361	-1.434	-3.746	-2.397	-19.171
Aug-97	3.453	1.885	-2.374	-4.520	-2.951	-19.832
Sep-97	3.407	2.082	-1.975	-4.169	-2.588	-19.556
Oct-97	3.323	2.303	-1.771	-3.886	-2.246	-19.288
Nov-97	3.309	2.009	-2.346	-4.311	-2.499	-19.877
Dec-97	3.288	2.074	-2.390	-4.247	-2.382	-20.065
Jan-98	3.194	2.333	-1.839	-3.744	-1.971	-19.449
Feb-98	3.042	1.920	-2.488	-4.194	-2.178	-19.831
Mar-98	3.010	1.812	-2.891	-4.423	-2.269	-20.149
Apr-98	3.028	1.897	-2.865	-4.355	-2.130	-20.145
May-98	3.055	1.808	-3.164	-4.534	-2.219	-20.373
Jun-98	3.079	1.901	-3.431	-4.576	-2.015	-20.342
Jul-98	3.058	1.720	-3.874	-4.865	-2.182	-20.868
Aug-98	3.935	3.341	-2.378	-3.538	-1.137	-18.916
Sep-98	4.548	4.476	-0.958	-2.408	-0.682	-17.489
Oct-98	4.506	4.327	-1.422	-2.788	-0.915	-17.863
Nov-98	4.263	3.758	-2.142	-3.396	-0.975	-18.583
Dec-98	4.255	3.727	-2.354	-3.537	-1.025	-18.793
Jan-99	4.251	3.710	-2.594	-3.659	-1.014	-19.018
Feb-99	4.130	3.071	-4.476	-5.088	-1.803	-20.184
Mar-99	4.046	3.082	-4.436	-5.003	-1.758	-20.171
Apr-99	3.966	2.903	-4.688	-5.166	-2.093	-20.470
May-99	3.932	2.549	-5.578	-5.878	-2.664	-21.612
Jun-99	3.861	2.190	-6.180	-6.359	-2.999	-22.294
Jul-99	3.829	1.854	-6.679	-6.770	-3.253	-22.849
Aug-99	3.992	1.822	-7.326	-7.273	-3.646	-23.222
Sep-99	3.893	1.866	-7.266	-7.204	-3.667	-23.186
Oct-99	3.702	1.256	-7.885	-7.702	-4.060	-24.038
Nov-99	3.760	0.873	-8.671	-8.291	-4.124	-24.445
Dec-99	3.671	0.299	-9.419	-8.850	-4.435	-24.943
Jan-00	3.789	0.017	-10.041	-9.271	-4.661	-25.498
Feb-00	3.752	0.018	-10.019	-9.186	-4.601	-25.531
Mar-00	3.750	0.226	-9.735	-8.849	-4.407	-25.305
Apr-00	3.751	-0.117	-10.245	-9.235	-4.601	-25.508
May-00	3.724	-0.322	-10.585	-9.676	-4.955	-25.671
Jun-00	3.865	0.645	-10.087	-8.800	-3.519	-24.845
Jul-00	3.819	0.435	-10.551	-8.972	-3.356	-25.105
Aug-00	3.784	0.394	-10.414	-8.857	-3.266	-25.127
Sep-00	3.874	0.602	-10.294	-8.729	-3.159	-24.969
Oct-00	3.865	0.455	-10.582	-8.935	-3.159	-25.234
Nov-00	3.673	0.161	-10.356	-8.897	-3.363	-25.383
Dec-00	3.661	-0.016	-10.028	-8.781	-3.685	-25.311
Jan-01	4.449	1.096	-9.317	-8.079	-3.481	-24.623
Feb-01	4.570	0.850	-9.656	-8.300	-3.588	-24.779
Mar-01	4.740	0.957	-9.731	-8.103	-3.407	-24.332
Apr-01	4.776	1.619	-9.075	-7.471	-2.826	-23.682
May-01	4.824	1.694	-9.118	-7.360	-2.961	-23.532
Jun-01	4.822	1.704	-9.119	-7.400	-2.975	-23.661
Jul-01	4.868	1.478	-9.578	-7.394	-3.022	-23.132
Aug-01	5.001	1.295	-10.059	-7.569	-3.191	-23.301
Sep-01	4.382	0.300	-10.421	-7.136	-3.895	-22.558
Oct-01	3.828	-1.194	-12.018	-7.723	-4.681	-22.990
Nov-01	3.963	0.010	-10.657	-6.726	-3.540	-22.288
Dec-01	3.722	0.028	-10.369	-6.703	-3.307	-22.107
Jan-02	3.548	-0.077	-10.465	-6.855	-3.466	-22.285
Feb-02	3.614	-0.026	-10.658	-6.920	-3.632	-22.462
Mar-02	3.422	-0.049	-10.443	-7.182	-3.292	-22.885
Apr-02	3.118	0.050	-10.220	-6.766	-3.238	-23.171
May-02	3.088	-0.005	-10.330	-6.800	-3.387	-23.413
Jun-02	3.194	0.022	-10.756	-6.988	-3.659	-23.885
Jul-02	3.432	-0.206	-11.780	-7.586	-4.429	-25.021
Aug-02	3.434	-1.256	-13.211	-8.661	-5.340	-26.515
Sep-02	3.764	-2.287	-15.320	-10.142	-7.053	-29.224
Oct-02	3.605	-2.183	-15.221	-9.935	-7.063	-29.340
Nov-02	3.451	-1.212	-14.141	-8.876	-6.502	-28.315
Dec-02	3.510	-2.185	-16.391	-10.160	-7.529	-29.741
Jan-03	3.521	-1.959	-16.305	-9.910	-7.434	-29.676
Feb-03	3.174	-3.443	-18.283	-11.106	-8.476	-31.190
Mar-03	3.099	-3.742	-18.864	-11.278	-8.886	-31.906
Apr-03	3.094	-3.944	-19.752	-11.615	-9.207	-32.625
May-03	3.199	-5.238	-22.890	-13.456	-10.808	-34.118
Jun-03	3.190	-5.150	-23.318	-13.563	-11.477	-34.289
Jul-03	3.957	-2.902	-20.795	-11.806	-10.197	-32.382
Aug-03	4.062	-2.857	-20.876	-11.657	-10.167	-32.255
Sep-03	3.416	-4.949	-23.831	-13.357	-11.774	-33.630
Oct-03	3.737	-3.988	-22.742	-12.416	-11.070	-32.494
Nov-03	3.784	-4.037	-22.862	-12.339	-11.129	-32.478
Dec-03	3.553	-4.594	-23.819	-12.840	-11.658	-33.226

Figure 8c. Trace Cumulative Squared Prediction Errors, 1-Month Forecast Horizon, 1994 - 2003: Forecast Combinations

Data for Figure 8c

Month	FC-MSPE	FC-MSPE-X	FC-MSPE-ALL	FC-MCS-EW
Jan-94	-0.310	0.015	-0.138	0.019
Feb-94	0.580	0.075	0.375	-0.028
Mar-94	1.078	-0.453	0.371	-0.320
Apr-94	1.383	-0.578	0.466	-0.283
May-94	1.496	-0.710	0.452	-0.156
Jun-94	1.304	-1.267	0.071	-0.410
Jul-94	1.479	-0.893	0.383	-0.205
Aug-94	1.686	-1.030	0.428	-0.100
Sep-94	1.766	-1.761	0.084	-0.222
Oct-94	1.754	-2.028	-0.069	-0.213
Nov-94	2.001	-2.236	-0.062	0.132
Dec-94	1.738	-2.822	-0.508	-0.006
Jan-95	2.560	-1.801	0.522	0.563
Feb-95	2.757	-0.798	1.222	0.855
Mar-95	2.811	-0.864	1.247	0.885
Apr-95	2.723	-0.659	1.348	0.876
May-95	2.182	0.263	1.603	0.996
Jun-95	1.927	0.397	1.585	1.021
Jul-95	2.113	0.225	1.633	1.046
Aug-95	1.911	0.290	1.594	1.024
Sep-95	1.782	0.270	1.543	0.987
Oct-95	1.558	0.435	1.557	0.992
Nov-95	1.240	0.655	1.561	0.949
Dec-95	0.768	1.190	1.687	1.279
Jan-96	0.707	1.341	1.801	1.364
Feb-96	1.516	1.392	2.292	1.449
Mar-96	1.910	1.173	2.411	1.398
Apr-96	2.173	1.043	2.511	1.524
May-96	2.270	0.639	2.377	1.411
Jun-96	2.244	0.790	2.465	1.435
Jul-96	2.325	0.597	2.422	1.457
Aug-96	2.347	0.331	2.319	1.403
Sep-96	2.248	0.664	2.481	1.500
Oct-96	2.143	1.120	2.710	1.645
Nov-96	1.922	1.252	2.695	1.653
Dec-96	2.201	1.003	2.739	1.683
Jan-97	2.220	0.950	2.737	1.676
Feb-97	2.291	0.792	2.711	1.661
Mar-97	2.428	0.294	2.531	1.601
Apr-97	2.428	0.515	2.670	1.687
May-97	2.362	0.574	2.700	1.715
Jun-97	2.434	0.779	2.899	1.865
Jul-97	2.335	1.372	3.205	2.021
Aug-97	2.530	0.957	3.125	1.936
Sep-97	2.400	1.221	3.227	1.995
Oct-97	2.390	1.479	3.389	2.063
Nov-97	2.457	1.265	3.343	2.041
Dec-97	2.410	1.346	3.391	2.064
Jan-98	2.162	1.698	3.490	2.080
Feb-98	2.323	1.443	3.475	2.015
Mar-98	2.328	1.339	3.464	1.990
Apr-98	2.354	1.455	3.587	2.143
May-98	2.283	1.434	3.571	2.162
Jun-98	2.392	1.562	3.725	2.296
Jul-98	2.394	1.435	3.708	2.289
Aug-98	2.212	2.646	4.352	2.986
Sep-98	1.390	3.533	4.461	3.304
Oct-98	1.375	3.409	4.434	3.268
Nov-98	1.705	3.093	4.472	3.175
Dec-98	1.649	3.073	4.465	3.180
Jan-99	1.593	3.066	4.477	3.180
Feb-99	2.193	2.333	4.432	2.979
Mar-99	2.100	2.411	4.453	2.946
Apr-99	2.164	2.287	4.454	2.885
May-99	2.330	1.849	4.327	2.790
Jun-99	2.398	1.584	4.241	2.690
Jul-99	2.370	1.367	4.129	2.587
Aug-99	2.376	1.236	4.062	2.608
Sep-99	2.340	1.332	4.104	2.576
Oct-99	2.343	0.979	3.933	2.351
Nov-99	2.472	0.802	3.903	2.409
Dec-99	2.518	0.489	3.765	2.319
Jan-00	2.601	0.281	3.700	2.346
Feb-00	2.644	0.345	3.759	2.366
Mar-00	2.763	0.560	3.942	2.388
Apr-00	2.733	0.405	3.847	2.411
May-00	2.535	0.278	3.677	2.269
Jun-00	3.514	1.249	4.707	3.151
Jul-00	3.634	1.199	4.753	3.194
Aug-00	3.529	1.261	4.738	3.143
Sep-00	3.549	1.422	4.860	3.265
Oct-00	3.486	1.368	4.805	3.242
Nov-00	3.070	1.315	4.557	3.038
Dec-00	2.423	1.337	4.231	2.891
Jan-01	2.052	1.980	4.409	3.482
Feb-01	1.671	1.892	4.169	3.491
Mar-01	1.549	2.107	4.220	3.828
Apr-01	2.045	2.620	4.766	4.206
May-01	1.886	2.676	4.725	4.273
Jun-01	1.897	2.678	4.738	4.274
Jul-01	1.420	2.676	4.493	4.224
Aug-01	0.979	2.594	4.221	4.285
Sep-01	-0.108	2.434	3.553	4.219
Oct-01	-1.166	1.755	2.607	3.855
Nov-01	-0.315	2.592	3.520	4.160
Dec-01	-0.133	2.701	3.691	4.117
Jan-02	-0.109	2.636	3.690	3.994
Feb-02	-0.322	2.608	3.583	3.999
Mar-02	0.268	2.612	3.924	3.901
Apr-02	0.039	2.694	3.853	3.740
May-02	-0.060	2.675	3.800	3.731
Jun-02	-0.441	2.558	3.545	3.715
Jul-02	-1.093	2.167	2.989	3.624
Aug-02	-1.861	1.450	2.176	3.487
Sep-02	-3.196	0.446	0.908	3.577
Oct-02	-3.073	0.620	1.076	3.531
Nov-02	-2.317	1.403	1.904	3.449
Dec-02	-3.272	0.589	0.939	3.463
Jan-03	-3.044	0.823	1.176	3.475
Feb-03	-3.697	-0.088	0.309	3.280
Mar-03	-3.737	-0.233	0.190	3.248
Apr-03	-3.837	-0.383	0.038	3.244
May-03	-4.814	-1.473	-1.102	3.259
Jun-03	-4.897	-1.459	-1.145	3.208
Jul-03	-3.657	0.092	0.361	3.563
Aug-03	-3.486	0.259	0.535	3.630
Sep-03	-4.424	-1.082	-0.718	3.302
Oct-03	-3.797	-0.258	0.061	3.464
Nov-03	-3.694	-0.187	0.152	3.489
Dec-03	-3.947	-0.600	-0.218	3.385

Figure 9a. Trace Cumulative Squared Prediction Errors, 3-Month Forecast Horizon, 1994 - 2003: Yield-Only Models

Data for Figure 9a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-94	3.902	5.610	7.887	3.927	3.717	3.663
Apr-94	10.775	15.756	21.698	10.492	10.925	10.053
May-94	15.619	21.334	30.204	13.962	14.714	13.476
Jun-94	18.373	23.420	34.627	15.009	15.216	14.441
Jul-94	18.934	23.765	35.141	15.149	15.370	14.524
Aug-94	19.367	24.226	35.658	15.494	15.753	14.777
Sep-94	20.768	24.567	36.932	15.402	15.941	14.629
Oct-94	23.264	25.643	39.524	15.659	16.381	14.904
Nov-94	26.525	27.939	43.323	16.966	17.886	16.265
Dec-94	28.389	28.409	44.694	16.798	18.085	16.243
Jan-95	29.373	29.651	45.814	17.800	19.701	17.229
Feb-95	28.578	31.517	47.900	19.928	21.897	19.139
Mar-95	27.973	35.360	52.464	24.046	25.382	23.019
Apr-95	26.941	35.697	53.878	24.792	26.386	23.458
May-95	24.981	33.847	53.367	23.715	25.739	21.947
Jun-95	22.642	30.700	51.915	21.505	25.009	19.235
Jul-95	20.903	27.629	50.056	19.151	23.498	16.604
Aug-95	20.387	25.922	49.256	17.885	21.888	15.312
Sep-95	20.075	24.694	48.762	17.090	21.126	14.397
Oct-95	18.787	21.300	46.107	14.429	19.298	11.503
Nov-95	17.166	17.352	43.611	11.544	17.289	8.200
Dec-95	14.741	12.432	41.190	7.807	14.036	4.222
Jan-96	12.529	7.652	38.772	4.226	10.156	0.391
Feb-96	12.410	7.204	39.027	4.048	9.403	0.414
Mar-96	14.488	10.905	41.441	7.043	12.326	3.595
Apr-96	17.557	18.212	47.698	13.136	17.416	9.975
May-96	19.630	22.178	51.401	16.463	19.679	13.387
Jun-96	20.146	23.050	52.302	17.204	20.022	14.208
Jul-96	20.488	23.358	52.603	17.480	20.138	14.461
Aug-96	20.589	23.351	52.709	17.525	20.029	14.412
Sep-96	20.382	23.040	52.642	17.384	19.825	14.186
Oct-96	19.059	21.657	51.930	16.606	19.626	13.136
Nov-96	17.035	19.795	50.682	15.716	20.192	11.738
Dec-96	16.211	18.859	50.111	15.219	20.080	10.995
Jan-97	16.314	18.844	50.280	15.315	20.051	11.034
Feb-97	17.455	20.558	51.552	16.685	21.105	12.509
Mar-97	18.744	22.059	52.638	17.776	21.752	13.694
Apr-97	19.380	22.794	53.291	18.342	21.969	14.291
May-97	19.374	22.676	53.381	18.226	21.742	14.197
Jun-97	18.336	21.676	53.153	17.812	22.064	13.389
Jul-97	16.836	20.550	52.997	17.480	22.320	12.676
Aug-97	16.167	20.219	53.089	17.512	22.301	12.498
Sep-97	15.077	18.852	52.628	16.751	22.288	11.489
Oct-97	14.379	17.464	52.270	15.925	21.763	10.435
Nov-97	13.378	16.116	51.895	15.268	21.701	9.355
Dec-97	12.730	15.475	51.811	15.193	21.910	8.925
Jan-98	11.644	13.479	51.341	14.098	21.132	7.396
Feb-98	10.807	12.106	51.324	13.462	20.764	6.383
Mar-98	10.328	10.941	51.290	12.897	20.231	5.576
Apr-98	10.518	11.039	51.735	13.065	20.078	5.872
May-98	10.009	9.886	51.758	12.279	19.312	5.076
Jun-98	9.314	8.232	51.567	11.391	18.994	3.849
Jul-98	8.824	7.455	51.509	11.030	18.583	3.318
Aug-98	6.969	5.489	52.217	10.211	17.053	2.095
Sep-98	3.149	-0.359	52.962	6.784	14.508	-2.207
Oct-98	-0.567	-5.173	54.121	4.071	12.073	-5.586
Nov-98	-2.169	-8.642	53.424	1.877	9.744	-8.008
Dec-98	-1.556	-7.927	53.597	2.577	10.221	-7.294
Jan-99	-1.176	-7.920	53.926	3.009	10.557	-7.017
Feb-99	0.382	-5.101	55.315	5.069	12.297	-4.731
Mar-99	1.584	-3.070	56.067	6.430	13.390	-3.078
Apr-99	3.111	-0.265	57.096	8.209	14.467	-0.860
May-99	3.634	0.194	57.251	8.410	14.133	-0.584
Jun-99	4.963	2.255	58.459	9.788	14.548	1.044
Jul-99	6.390	4.200	59.482	10.956	14.992	2.428
Aug-99	7.265	4.925	59.388	11.135	14.908	2.846
Sep-99	7.393	4.871	59.336	11.049	14.713	2.761
Oct-99	7.677	5.072	59.240	11.041	14.519	2.821
Nov-99	8.221	5.539	58.974	11.185	14.730	3.100
Dec-99	9.773	6.894	58.784	11.754	14.895	3.965
Jan-00	11.653	8.098	57.755	12.125	15.857	4.586
Feb-00	12.693	8.933	57.182	12.642	16.563	5.125
Mar-00	12.872	9.360	57.178	13.301	17.468	5.429
Apr-00	12.624	9.231	57.187	13.423	17.729	5.298
May-00	12.280	8.677	57.086	12.835	17.156	4.791
Jun-00	12.067	8.366	56.815	12.642	17.036	4.589
Jul-00	11.809	9.215	56.706	13.680	18.140	5.380
Aug-00	11.656	12.844	58.320	17.568	22.220	8.896
Sep-00	11.141	12.758	58.524	17.730	22.590	8.846
Oct-00	10.490	11.416	58.621	16.837	22.131	7.669
Nov-00	9.519	8.935	58.901	15.135	20.616	5.430
Dec-00	7.761	4.722	58.815	11.783	16.824	1.708
Jan-01	5.345	-1.484	59.081	6.524	10.287	-3.415
Feb-01	2.932	-8.095	58.472	1.046	3.532	-8.695
Mar-01	0.648	-13.410	57.212	-3.133	-2.045	-12.454
Apr-01	-0.649	-14.857	56.156	-4.066	-3.931	-13.122
May-01	-1.802	-14.958	55.860	-3.869	-0.127	-12.453
Jun-01	-2.224	-14.220	56.262	-2.977	0.566	-11.465
Jul-01	-4.012	-17.442	52.098	-5.182	-1.885	-13.860
Aug-01	-6.098	-21.079	46.910	-7.496	-3.844	-16.471
Sep-01	-11.079	-28.243	37.045	-12.437	-8.956	-21.610
Oct-01	-16.828	-38.994	21.541	-20.366	-16.983	-29.585
Nov-01	-21.058	-45.027	12.778	-24.214	-22.124	-33.793
Dec-01	-22.007	-45.403	10.341	-23.809	-22.448	-34.013
Jan-02	-20.751	-41.074	14.419	-19.996	-18.478	-30.896
Feb-02	-20.842	-41.590	12.156	-19.970	-18.437	-31.337
Mar-02	-19.651	-40.037	14.034	-18.803	-17.148	-30.882
Apr-02	-20.050	-41.050	11.416	-19.115	-17.420	-31.878
May-02	-20.336	-41.810	9.239	-19.233	-17.508	-32.500
Jun-02	-23.102	-44.279	3.066	-19.613	-17.773	-33.510
Jul-02	-26.020	-48.607	-6.832	-21.490	-19.437	-35.485
Aug-02	-29.405	-53.761	-18.439	-23.930	-21.645	-37.711
Sep-02	-33.611	-62.174	-35.689	-28.782	-26.392	-41.967
Oct-02	-36.438	-70.592	-52.353	-34.576	-33.659	-46.898
Nov-02	-37.708	-73.311	-58.920	-35.705	-36.174	-48.013
Dec-02	-38.793	-76.262	-65.112	-36.846	-38.665	-48.854
Jan-03	-39.583	-78.794	-71.876	-37.838	-40.715	-49.635
Feb-03	-41.737	-84.837	-83.725	-41.189	-45.163	-52.464
Mar-03	-42.433	-87.955	-90.631	-42.619	-47.441	-53.610
Apr-03	-43.514	-91.928	-99.052	-44.663	-50.350	-55.341
May-03	-44.926	-97.682	-109.115	-47.763	-54.774	-57.926
Jun-03	-46.556	-103.177	-119.898	-50.641	-58.934	-60.359
Jul-03	-46.212	-101.998	-120.769	-49.108	-57.828	-58.976
Aug-03	-44.553	-95.365	-114.355	-44.364	-52.777	-54.504
Sep-03	-44.172	-94.988	-115.547	-43.607	-52.383	-53.706
Oct-03	-44.700	-96.995	-122.386	-44.541	-53.807	-54.460
Nov-03	-45.317	-98.730	-128.351	-45.223	-55.062	-55.097
Dec-03	-44.888	-97.965	-129.649	-44.194	-54.274	-54.206

Figure 9b. Trace Cumulative Squared Prediction Errors, 3-Month Forecast Horizon, 1994 - 2003: Macro Models

Data for Figure 9b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-94	-1.818	0.894	1.560	-1.685	-0.682	-0.793
Apr-94	-2.050	2.645	3.659	-4.990	-0.750	-2.613
May-94	-3.986	2.645	2.602	-9.591	-2.547	-7.704
Jun-94	-2.085	3.374	2.439	-12.107	-4.242	-9.897
Jul-94	-1.477	3.429	1.609	-13.607	-5.150	-11.467
Aug-94	-1.835	3.188	0.363	-15.240	-6.004	-13.804
Sep-94	-1.942	2.429	-2.091	-18.559	-8.464	-19.121
Oct-94	-3.178	0.899	-5.849	-23.602	-13.006	-25.371
Nov-94	-4.143	-0.413	-9.730	-28.761	-18.458	-32.622
Dec-94	-3.199	-1.246	-12.854	-32.767	-21.643	-36.567
Jan-95	-2.773	-1.250	-13.452	-33.727	-21.744	-38.011
Feb-95	-1.858	0.908	-9.956	-30.033	-17.951	-34.268
Mar-95	-0.777	4.607	-5.420	-24.768	-12.250	-29.408
Apr-95	0.870	6.445	-2.312	-21.487	-8.811	-26.084
May-95	2.084	8.054	2.132	-17.253	-4.244	-21.514
Jun-95	4.360	9.689	7.363	-12.425	1.407	-15.975
Jul-95	6.151	10.396	10.202	-9.746	4.139	-13.698
Aug-95	6.119	10.512	10.119	-9.737	4.298	-13.813
Sep-95	6.110	10.493	8.919	-10.751	4.095	-14.731
Oct-95	6.502	10.371	9.315	-10.387	4.917	-14.661
Nov-95	6.306	10.254	9.959	-9.650	6.085	-15.132
Dec-95	6.279	10.723	13.144	-6.677	8.457	-12.379
Jan-96	6.937	11.328	15.555	-4.249	10.357	-10.006
Feb-96	6.431	11.768	14.905	-4.605	10.346	-10.070
Mar-96	5.860	11.446	7.760	-11.119	9.072	-13.184
Apr-96	5.146	12.442	4.485	-14.813	7.514	-13.512
May-96	4.948	12.649	2.196	-17.705	5.170	-14.605
Jun-96	4.716	12.647	-0.286	-20.024	3.084	-16.040
Jul-96	4.323	12.200	-3.117	-22.697	0.586	-18.167
Aug-96	4.414	12.025	-5.205	-24.534	-1.310	-19.566
Sep-96	4.419	11.952	-6.409	-25.594	-2.164	-20.653
Oct-96	4.982	12.705	-4.795	-23.941	-0.398	-19.197
Nov-96	6.498	13.994	-1.017	-20.258	3.730	-16.077
Dec-96	6.948	14.335	-0.703	-19.849	4.222	-15.825
Jan-97	6.705	14.186	-2.109	-21.111	3.418	-16.682
Feb-97	6.614	13.927	-5.834	-24.284	1.940	-17.949
Mar-97	6.848	13.375	-9.472	-27.710	-0.868	-20.075
Apr-97	6.479	12.977	-11.457	-29.655	-2.949	-21.653
May-97	6.385	12.838	-12.797	-30.918	-4.208	-22.807
Jun-97	6.609	13.283	-11.506	-29.618	-2.813	-21.875
Jul-97	7.964	14.404	-8.857	-26.911	-0.112	-19.614
Aug-97	8.432	14.875	-9.138	-26.822	0.447	-19.673
Sep-97	8.853	15.257	-8.356	-25.916	1.501	-18.633
Oct-97	9.053	15.381	-9.339	-26.403	1.429	-18.951
Nov-97	8.926	15.626	-9.174	-25.902	2.318	-18.278
Dec-97	9.132	15.875	-10.367	-26.353	2.626	-18.390
Jan-98	9.529	16.159	-10.447	-25.973	3.283	-18.267
Feb-98	9.520	16.382	-11.173	-25.995	3.645	-18.295
Mar-98	9.515	16.405	-12.694	-26.702	3.425	-18.784
Apr-98	9.241	16.397	-15.163	-28.202	2.800	-19.476
May-98	9.205	16.462	-16.808	-28.963	2.576	-19.841
Jun-98	9.417	16.513	-18.088	-29.443	2.436	-20.080
Jul-98	9.501	16.529	-20.580	-30.707	2.270	-20.697
Aug-98	9.591	17.550	-18.319	-28.134	4.164	-18.367
Sep-98	13.169	20.096	-9.578	-20.993	10.235	-11.834
Oct-98	17.751	23.170	-0.830	-13.595	16.147	-4.377
Nov-98	18.528	23.542	0.126	-12.530	17.006	-3.334
Dec-98	18.173	23.240	-4.569	-16.088	15.968	-5.824
Jan-99	17.839	23.180	-7.257	-18.167	15.604	-7.319
Feb-99	18.103	23.501	-12.887	-22.139	14.694	-9.294
Mar-99	17.656	23.470	-19.085	-26.413	13.366	-12.215
Apr-99	17.525	23.575	-25.521	-30.728	11.063	-14.065
May-99	17.233	23.115	-29.724	-33.671	8.218	-16.313
Jun-99	16.036	22.790	-34.008	-36.739	4.885	-18.549
Jul-99	15.629	22.473	-38.665	-40.169	2.280	-21.243
Aug-99	14.551	21.648	-43.096	-43.684	-0.316	-24.044
Sep-99	14.556	21.416	-45.341	-45.280	-1.129	-25.085
Oct-99	14.872	21.349	-47.659	-46.928	-2.079	-25.761
Nov-99	14.847	20.944	-50.810	-49.121	-3.163	-27.561
Dec-99	13.471	19.828	-55.762	-52.744	-5.755	-30.655
Jan-00	12.982	18.483	-61.788	-57.333	-7.573	-33.634
Feb-00	12.319	17.545	-65.782	-60.055	-9.078	-35.510
Mar-00	12.534	17.458	-66.957	-60.525	-8.943	-35.741
Apr-00	12.555	17.525	-67.463	-60.608	-8.933	-35.716
May-00	12.532	17.601	-67.979	-60.990	-9.196	-35.875
Jun-00	12.547	17.630	-69.203	-61.510	-9.434	-36.051
Jul-00	12.549	18.073	-70.037	-61.267	-8.848	-35.297
Aug-00	13.261	20.118	-69.451	-58.795	-4.740	-32.171
Sep-00	13.435	20.503	-69.968	-58.543	-4.149	-31.753
Oct-00	13.669	20.692	-69.858	-58.288	-3.838	-31.631
Nov-00	14.247	20.961	-69.007	-57.644	-3.680	-31.414
Dec-00	14.682	20.819	-66.419	-56.029	-4.391	-30.783
Jan-01	12.687	20.806	-60.660	-52.563	-4.468	-29.613
Feb-01	15.010	21.537	-56.024	-49.451	-3.894	-28.030
Mar-01	18.332	22.791	-52.446	-46.289	-2.529	-25.535
Apr-01	19.514	23.649	-51.137	-44.421	-1.431	-23.431
May-01	20.254	24.990	-48.770	-41.350	0.706	-20.215
Jun-01	20.275	25.914	-47.151	-39.585	2.048	-18.358
Jul-01	20.115	25.160	-48.382	-39.466	1.298	-18.082
Aug-01	19.819	24.170	-49.952	-39.237	0.927	-17.951
Sep-01	20.739	23.205	-51.741	-37.266	1.222	-14.694
Oct-01	20.196	20.361	-56.235	-37.323	-1.445	-15.518
Nov-01	17.414	18.786	-56.101	-34.998	-2.715	-14.027
Dec-01	17.262	19.420	-55.454	-33.577	-1.832	-12.587
Jan-02	18.914	22.408	-50.576	-30.010	2.371	-9.060
Feb-02	18.741	22.610	-50.506	-30.022	2.572	-8.966
Mar-02	17.991	23.335	-49.157	-30.105	3.047	-8.966
Apr-02	17.889	23.309	-49.293	-30.378	2.945	-9.199
May-02	17.931	23.372	-49.232	-30.469	3.028	-9.328
Jun-02	16.258	23.100	-48.055	-28.502	3.461	-9.002
Jul-02	16.120	22.250	-50.119	-29.039	2.095	-9.814
Aug-02	17.163	21.460	-53.628	-30.492	0.182	-12.415
Sep-02	17.972	18.984	-61.384	-35.331	-4.520	-18.330
Oct-02	18.240	16.037	-70.688	-41.900	-10.569	-24.392
Nov-02	18.515	15.970	-72.895	-42.804	-11.520	-25.470
Dec-02	18.561	15.873	-74.966	-43.620	-12.331	-26.110
Jan-03	18.549	15.653	-78.165	-44.940	-13.200	-27.467
Feb-03	19.182	13.876	-86.200	-49.154	-16.604	-30.736
Mar-03	19.035	13.062	-91.346	-51.532	-18.691	-32.655
Apr-03	17.622	11.344	-98.653	-55.291	-22.473	-36.390
May-03	16.512	8.946	-108.041	-60.419	-27.548	-41.230
Jun-03	16.509	7.020	-119.298	-66.062	-32.150	-45.568
Jul-03	16.557	8.221	-120.227	-64.956	-31.162	-44.072
Aug-03	16.691	12.222	-113.505	-59.611	-25.711	-39.184
Sep-03	16.933	12.959	-113.582	-58.866	-25.679	-38.506
Oct-03	16.056	11.959	-119.239	-61.262	-27.985	-40.334
Nov-03	15.323	11.148	-124.284	-63.321	-29.983	-41.715
Dec-03	15.761	12.062	-124.962	-62.611	-29.757	-40.883

Figure 9c. Trace Cumulative Squared Prediction Errors, 3-Month Forecast Horizon, 1994 - 2003: Forecast Combinations

Notes: Figures 8 and 9 show the Trace Cumulative Squared Prediction Error [TCSPE], relative to the random walk, of individual yield-only models in Panel (a), individual models with macro factors in Panel (b) and of forecast combinations schemes in Panel (c). Figure 8 shows TCSPEs for a 1-month forecast horizon whereas Figure 9 does so for a 3-month horizon. The forecast sample is 1994:1 - 2003:12.

Data for Figure 9c

Month	FC-MSPE	FC-MSPE-X	FC-MSPE-ALL	FC-MCS-EW
Jan-94	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A
Mar-94	3.847	-0.400	1.821	-0.657
Apr-94	10.407	-0.646	5.023	-1.079
May-94	14.229	-2.610	5.863	-2.626
Jun-94	15.814	-2.916	6.494	-2.487
Jul-94	16.230	-3.124	6.617	-2.308
Aug-94	16.735	-3.751	6.637	-2.431
Sep-94	17.325	-5.316	6.087	-2.826
Oct-94	18.367	-8.126	5.085	-3.938
Nov-94	20.206	-11.156	4.337	-4.947
Dec-94	20.833	-12.703	3.769	-4.794
Jan-95	21.934	-12.762	4.295	-4.278
Feb-95	23.361	-9.839	6.805	-3.079
Mar-95	26.410	-5.212	11.171	-0.895
Apr-95	26.868	-2.522	13.190	0.233
May-95	25.873	0.478	14.583	0.796
Jun-95	24.199	4.094	16.025	1.809
Jul-95	22.491	6.061	16.544	2.161
Aug-95	21.736	6.298	16.615	2.219
Sep-95	21.291	6.136	16.600	2.221
Oct-95	19.479	6.624	16.235	1.993
Nov-95	17.406	7.133	15.703	1.521
Dec-95	14.725	9.043	15.787	1.578
Jan-96	12.082	10.742	15.840	1.750
Feb-96	12.196	10.855	16.536	2.414
Mar-96	14.770	8.808	17.056	2.472
Apr-96	19.622	7.954	19.360	3.767
May-96	22.286	6.989	20.386	4.093
Jun-96	22.970	6.144	20.524	4.055
Jul-96	23.259	4.950	20.238	3.672
Aug-96	23.346	4.354	20.094	3.577
Sep-96	23.260	4.061	20.082	3.570
Oct-96	22.580	5.338	20.676	4.142
Nov-96	21.719	7.929	21.906	5.397
Dec-96	21.288	8.432	22.204	5.693
Jan-97	21.422	7.964	22.230	5.718
Feb-97	22.623	6.896	22.460	5.983
Mar-97	23.624	5.492	22.328	5.922
Apr-97	24.156	4.513	22.220	5.748
May-97	24.156	4.020	22.111	5.672
Jun-97	23.793	5.002	22.620	6.121
Jul-97	23.360	7.000	23.737	7.182
Aug-97	23.294	7.527	24.250	7.670
Sep-97	22.715	8.469	24.717	8.172
Oct-97	22.132	8.599	24.798	8.268
Nov-97	21.578	9.308	25.097	8.494
Dec-97	21.434	9.645	25.422	8.828
Jan-98	20.575	10.197	25.569	8.973
Feb-98	20.089	10.576	25.761	9.093
Mar-98	19.703	10.524	25.814	9.080
Apr-98	19.992	10.069	25.976	9.244
May-98	19.558	10.060	26.058	9.358
Jun-98	18.990	10.180	26.129	9.453
Jul-98	18.740	10.092	26.172	9.542
Aug-98	17.937	11.948	27.054	10.110
Sep-98	15.339	16.963	29.001	12.294
Oct-98	13.175	22.344	31.416	14.964
Nov-98	11.575	23.270	31.477	15.081
Dec-98	12.266	22.038	31.465	15.037
Jan-99	12.702	21.390	31.604	15.039
Feb-99	14.496	20.261	32.100	15.428
Mar-99	15.765	18.661	32.125	15.311
Apr-99	17.353	17.116	32.308	15.398
May-99	17.636	15.700	31.880	14.857
Jun-99	18.843	13.971	31.731	14.253
Jul-99	19.940	12.324	31.537	13.968
Aug-99	20.318	10.511	30.867	12.946
Sep-99	20.350	9.972	30.690	12.813
Oct-99	20.476	9.630	30.601	13.004
Nov-99	20.775	8.764	30.341	12.969
Dec-99	21.476	6.722	29.630	12.123
Jan-00	22.206	4.743	28.919	11.782
Feb-00	22.739	3.382	28.487	11.360
Mar-00	23.160	3.369	28.728	11.741
Apr-00	23.249	3.536	28.899	12.039
May-00	22.977	3.541	28.808	12.079
Jun-00	22.930	3.473	28.820	12.077
Jul-00	23.661	4.012	29.518	12.671
Aug-00	26.535	6.672	32.466	15.564
Sep-00	26.690	7.139	32.870	15.798
Oct-00	26.170	7.437	32.856	15.713
Nov-00	25.089	7.955	32.698	15.516
Dec-00	22.848	8.652	32.018	14.565
Jan-01	19.508	9.599	30.897	12.158
Feb-01	15.990	11.373	30.230	12.284
Mar-01	13.234	13.573	30.234	13.732
Apr-01	12.537	14.887	30.774	15.109
May-01	13.383	16.861	32.378	17.370
Jun-01	14.125	18.042	33.486	18.518
Jul-01	12.116	17.760	32.357	18.001
Aug-01	9.904	17.421	31.088	17.292
Sep-01	5.097	18.030	29.106	17.199
Oct-01	-1.954	16.673	24.787	15.619
Nov-01	-5.885	16.501	22.753	14.272
Dec-01	-5.913	17.372	23.277	15.209
Jan-02	-2.588	20.527	26.755	18.054
Feb-02	-2.608	20.695	26.930	18.079
Mar-02	-1.246	20.997	27.920	18.019
Apr-02	-1.650	20.939	27.833	17.965
May-02	-1.842	21.023	27.904	18.080
Jun-02	-3.227	21.339	27.450	17.392
Jul-02	-5.810	20.628	25.801	16.590
Aug-02	-8.999	19.518	23.609	15.915
Sep-02	-14.301	16.345	19.104	13.352
Oct-02	-19.653	12.631	14.196	10.543
Nov-02	-21.047	12.469	13.425	10.778
Dec-02	-22.255	12.435	12.822	11.224
Jan-03	-23.262	12.127	12.080	11.342
Feb-03	-26.757	9.876	8.981	10.578
Mar-03	-28.102	8.761	7.557	10.199
Apr-03	-30.104	6.339	5.026	8.736
May-03	-33.039	3.164	1.582	7.037
Jun-03	-35.914	0.313	-1.633	6.050
Jul-03	-34.597	1.625	-0.301	7.067
Aug-03	-30.167	5.677	4.243	9.271
Sep-03	-29.384	6.412	4.971	9.689
Oct-03	-30.346	5.046	3.597	8.978
Nov-03	-31.234	3.838	2.373	8.352
Dec-03	-30.282	4.713	3.271	9.074

Figure 10a. Trace Cumulative Squared Prediction Errors, 6-Month Forecast Horizon, 1994 - 2003: Yield-Only Models

Data for Figure 10a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-94	13.893	22.288	24.542	12.971	13.896	12.805
Jul-94	28.344	45.695	48.281	26.141	28.701	26.120
Aug-94	38.510	59.547	63.136	33.976	37.555	34.092
Sep-94	47.036	69.010	75.360	38.376	41.469	38.709
Oct-94	53.325	74.314	82.445	39.916	44.393	40.548
Nov-94	60.911	80.892	89.816	42.198	48.379	43.185
Dec-94	67.900	86.184	96.427	43.501	50.958	44.851
Jan-95	75.048	94.003	104.320	47.789	56.291	49.350
Feb-95	78.375	98.287	108.050	50.898	60.311	52.587
Mar-95	79.658	101.406	110.094	53.760	63.752	55.472
Apr-95	79.231	104.018	111.171	56.937	67.074	58.549
May-95	75.150	107.176	118.054	62.884	73.810	63.333
Jun-95	70.803	113.913	134.022	72.842	81.933	71.910
Jul-95	66.318	111.155	137.645	72.821	82.807	70.823
Aug-95	61.788	104.419	136.045	68.925	79.140	66.195
Sep-95	56.945	96.182	133.043	63.746	75.895	60.137
Oct-95	51.683	85.801	128.043	56.672	70.438	52.393
Nov-95	47.565	72.796	121.908	47.746	61.144	42.924
Dec-95	42.234	58.759	115.859	38.449	52.084	33.096
Jan-96	35.826	42.677	105.694	27.298	42.528	21.294
Feb-96	32.469	33.948	102.135	21.867	37.380	15.507
Mar-96	31.387	30.017	101.710	19.960	35.076	13.412
Apr-96	32.606	31.335	103.966	21.622	35.331	15.282
May-96	36.691	39.867	110.823	29.026	41.213	23.144
Jun-96	41.835	49.077	116.160	35.860	47.530	30.444
Jul-96	48.530	62.518	126.872	46.852	57.658	41.690
Aug-96	52.724	69.583	132.983	52.703	62.370	47.680
Sep-96	53.276	69.500	133.836	53.304	62.628	48.231
Oct-96	51.148	65.709	132.062	51.654	61.538	46.143
Nov-96	47.211	60.115	129.335	49.287	61.148	42.924
Dec-96	45.212	56.831	128.199	47.879	59.964	41.141
Jan-97	42.890	53.085	126.976	46.061	58.641	38.899
Feb-97	40.754	49.866	125.711	44.647	58.066	36.961
Mar-97	41.535	50.331	126.455	45.261	58.300	37.505
Apr-97	43.055	52.000	128.217	46.896	59.491	39.188
May-97	45.268	55.101	130.688	49.455	61.325	42.014
Jun-97	45.238	54.137	130.897	49.387	61.009	41.751
Jul-97	43.138	49.582	129.011	47.280	59.805	39.094
Aug-97	41.750	46.729	128.360	46.085	59.035	37.510
Sep-97	37.951	41.655	127.093	43.806	58.782	34.417
Oct-97	33.950	36.217	126.097	41.523	57.629	31.387
Nov-97	30.892	32.491	125.793	40.478	56.707	29.641
Dec-97	27.704	26.922	124.214	38.118	56.321	26.413
Jan-98	24.339	18.726	122.192	33.872	53.339	21.312
Feb-98	20.953	12.373	120.751	30.997	52.014	17.513
Mar-98	18.797	8.059	120.342	29.584	51.170	15.413
Apr-98	17.044	3.153	119.910	27.351	49.024	12.736
May-98	14.463	-2.877	119.806	24.393	46.420	9.226
Jun-98	12.215	-9.316	119.367	21.303	43.567	5.524
Jul-98	11.596	-13.198	119.394	19.877	42.036	3.953
Aug-98	7.002	-24.942	117.973	13.548	36.966	-3.342
Sep-98	-1.549	-44.357	115.586	2.794	30.533	-15.986
Oct-98	-9.699	-59.391	116.025	-4.435	23.756	-24.664
Nov-98	-16.054	-71.066	117.479	-9.406	17.284	-30.782
Dec-98	-22.324	-84.785	118.002	-16.049	11.863	-38.799
Jan-99	-28.805	-97.582	119.028	-21.911	6.622	-45.884
Feb-99	-28.876	-99.814	119.979	-22.027	5.774	-46.065
Mar-99	-25.190	-93.708	121.353	-17.569	9.950	-41.250
Apr-99	-21.332	-87.774	125.135	-12.534	14.622	-36.117
May-99	-17.136	-79.898	128.731	-6.863	19.493	-29.997
Jun-99	-11.977	-70.096	131.169	-0.865	24.695	-23.162
Jul-99	-5.890	-57.703	134.553	6.439	29.869	-14.633
Aug-99	-3.023	-53.624	135.373	8.775	30.530	-11.766
Sep-99	-0.175	-49.518	137.755	11.732	31.981	-8.395
Oct-99	3.216	-44.469	140.029	14.937	33.983	-4.758
Nov-99	6.077	-40.938	140.372	16.796	35.127	-2.370
Dec-99	9.484	-36.738	140.882	18.914	36.949	0.278
Jan-00	13.918	-31.473	141.486	21.298	37.717	3.422
Feb-00	17.226	-27.724	141.150	23.189	39.752	5.752
Mar-00	20.715	-23.466	141.307	25.985	42.031	8.800
Apr-00	23.672	-20.336	140.111	27.567	44.057	10.733
May-00	24.702	-19.801	138.957	27.529	43.907	10.934
Jun-00	24.545	-20.108	138.736	27.945	44.638	11.089
Jul-00	23.650	-20.594	139.239	28.837	46.410	11.247
Aug-00	22.215	-22.309	139.765	28.980	47.395	10.519
Sep-00	20.814	-24.676	139.979	28.334	47.638	9.317
Oct-00	19.204	-24.695	141.419	30.130	50.308	10.334
Nov-00	17.205	-20.541	147.377	36.722	55.853	15.884
Dec-00	13.087	-26.350	152.172	34.874	55.266	12.656
Jan-01	7.540	-38.624	157.623	27.000	49.021	3.997
Feb-01	1.699	-53.534	162.199	17.203	39.512	-6.951
Mar-01	-4.915	-69.086	165.237	6.191	25.535	-18.135
Apr-01	-10.291	-82.658	168.769	-4.009	11.881	-27.849
May-01	-15.328	-94.713	172.292	-12.839	-1.079	-35.694
Jun-01	-19.324	-102.877	174.084	-17.827	-9.689	-39.879
Jul-01	-24.823	-115.023	167.894	-24.999	-18.684	-46.955
Aug-01	-30.746	-128.928	160.120	-33.248	-16.007	-54.912
Sep-01	-40.778	-149.483	145.388	-45.122	-27.711	-66.689
Oct-01	-54.623	-175.019	121.573	-59.692	-44.752	-81.492
Nov-01	-66.363	-195.372	101.672	-70.116	-55.263	-92.908
Dec-01	-77.112	-213.158	84.693	-79.602	-65.821	-103.017
Jan-02	-85.515	-228.422	67.442	-87.334	-74.935	-110.953
Feb-02	-93.537	-243.517	52.415	-94.352	-84.401	-118.333
Mar-02	-92.790	-241.730	53.567	-90.559	-81.098	-115.500
Apr-02	-91.067	-239.097	55.148	-85.699	-76.293	-111.475
May-02	-91.776	-243.939	48.262	-85.895	-76.636	-112.234
Jun-02	-95.368	-254.037	32.985	-88.334	-79.251	-115.300
Jul-02	-101.931	-268.977	11.761	-92.630	-84.276	-119.822
Aug-02	-109.236	-286.213	-11.925	-97.806	-90.424	-125.001
Sep-02	-122.072	-303.746	-37.820	-98.959	-91.076	-126.769
Oct-02	-132.973	-325.609	-69.117	-105.447	-96.793	-133.450
Nov-02	-141.996	-344.894	-94.794	-111.647	-102.706	-140.002
Dec-02	-152.271	-369.939	-129.883	-120.896	-112.336	-148.991
Jan-03	-159.265	-392.694	-164.994	-130.666	-126.007	-157.629
Feb-03	-165.980	-416.273	-194.599	-139.678	-139.965	-165.696
Mar-03	-169.399	-432.455	-211.991	-143.546	-146.866	-168.975
Apr-03	-173.044	-449.932	-235.558	-148.797	-155.192	-173.441
May-03	-180.088	-474.531	-267.660	-157.085	-166.880	-180.721
Jun-03	-184.716	-495.639	-294.004	-163.409	-176.780	-186.154
Jul-03	-186.079	-504.197	-306.590	-164.104	-178.926	-186.750
Aug-03	-185.326	-505.531	-309.772	-160.880	-176.283	-183.787
Sep-03	-187.677	-518.743	-327.913	-163.563	-181.151	-186.030
Oct-03	-188.012	-524.515	-337.668	-162.734	-181.656	-185.222
Nov-03	-185.917	-520.427	-334.120	-157.028	-175.887	-179.705
Dec-03	-184.316	-520.501	-335.030	-153.799	-172.853	-176.657

Figure 10b. Trace Cumulative Squared Prediction Errors, 6-Month Forecast Horizon, 1994 - 2003: Macro Models

Data for Figure 10b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-94	-6.717	4.240	1.677	-8.447	-1.700	-3.371
Jul-94	-9.243	8.784	2.747	-17.794	-1.589	-7.102
Aug-94	-12.675	10.678	-0.800	-28.308	-4.640	-14.732
Sep-94	-8.337	12.560	-1.340	-35.245	-7.065	-17.517
Oct-94	-5.325	12.443	-7.433	-45.163	-12.752	-23.371
Nov-94	-10.102	11.030	-20.032	-60.459	-23.203	-37.642
Dec-94	-11.689	9.883	-29.537	-73.443	-32.481	-52.202
Jan-95	-14.644	9.518	-36.976	-83.923	-40.116	-62.581
Feb-95	-15.149	9.734	-40.298	-88.701	-43.763	-67.197
Mar-95	-13.766	10.528	-40.170	-89.326	-42.560	-67.121
Apr-95	-12.351	11.936	-37.125	-86.293	-38.378	-63.964
May-95	-7.968	17.274	-19.637	-69.131	-21.223	-47.377
Jun-95	-2.475	26.311	5.559	-43.972	2.203	-22.796
Jul-95	3.967	30.061	18.920	-31.079	15.626	-9.985
Aug-95	7.111	31.600	25.940	-24.270	22.694	-3.269
Sep-95	11.492	32.871	33.564	-16.957	30.860	3.977
Oct-95	15.937	33.653	40.736	-10.159	37.932	9.602
Nov-95	17.064	33.276	41.252	-9.517	39.225	10.208
Dec-95	17.946	33.114	44.354	-6.454	41.976	12.557
Jan-96	20.556	32.832	49.255	-1.742	46.705	16.459
Feb-96	20.566	32.943	49.484	-1.059	48.136	17.224
Mar-96	20.297	33.092	43.872	-5.026	46.922	15.195
Apr-96	18.612	33.357	33.947	-12.578	43.683	10.158
May-96	11.942	34.334	21.073	-22.662	38.093	3.376
Jun-96	10.315	34.540	0.036	-40.695	33.912	-4.351
Jul-96	7.102	36.096	-12.786	-53.067	29.573	-9.208
Aug-96	6.061	36.835	-20.428	-61.184	25.239	-12.396
Sep-96	5.125	36.780	-27.715	-67.462	20.799	-15.588
Oct-96	5.698	37.005	-29.705	-68.976	20.284	-16.164
Nov-96	5.992	37.743	-26.315	-65.437	24.507	-13.530
Dec-96	6.465	37.996	-27.583	-66.277	24.476	-13.851
Jan-97	7.263	38.391	-27.886	-66.091	25.030	-13.305
Feb-97	8.182	38.710	-28.123	-65.932	25.467	-13.077
Mar-97	5.902	38.227	-35.168	-72.262	19.783	-17.854
Apr-97	4.335	38.052	-42.068	-78.324	16.066	-21.315
May-97	3.755	38.080	-51.474	-85.795	12.927	-23.955
Jun-97	3.535	37.904	-55.782	-89.536	10.616	-25.785
Jul-97	4.123	37.906	-56.300	-89.822	11.008	-26.006
Aug-97	4.319	37.963	-58.078	-91.201	10.162	-26.708
Sep-97	5.653	38.790	-53.674	-86.902	14.810	-23.319
Oct-97	8.731	39.966	-49.370	-82.404	19.659	-19.466
Nov-97	10.966	40.977	-48.383	-80.650	22.541	-17.544
Dec-97	12.589	41.427	-47.831	-79.353	24.920	-15.438
Jan-98	13.975	41.650	-49.342	-79.559	25.990	-15.245
Feb-98	14.511	42.038	-49.050	-78.282	28.419	-13.385
Mar-98	15.147	42.327	-52.925	-80.175	28.568	-13.770
Apr-98	15.292	42.356	-57.699	-82.848	27.410	-15.073
May-98	15.622	42.592	-60.542	-83.793	27.593	-15.070
Jun-98	16.030	42.686	-64.173	-85.299	27.464	-15.476
Jul-98	15.813	42.709	-70.817	-89.060	26.250	-17.016
Aug-98	17.197	43.026	-69.333	-86.506	29.152	-14.522
Sep-98	21.172	43.748	-56.289	-75.936	38.940	-7.225
Oct-98	21.848	44.930	-44.168	-65.276	46.244	-0.724
Nov-98	22.850	46.277	-37.430	-58.287	51.212	4.871
Dec-98	27.503	47.497	-31.136	-51.867	57.458	10.749
Jan-99	32.804	49.009	-24.011	-44.586	64.314	17.831
Feb-99	31.680	49.348	-31.828	-49.278	62.713	15.406
Mar-99	28.794	49.886	-50.389	-63.101	57.666	6.994
Apr-99	26.429	50.966	-63.467	-73.110	54.652	1.338
May-99	26.577	52.198	-79.815	-83.855	52.361	-2.315
Jun-99	25.104	52.966	-102.400	-98.982	46.876	-10.179
Jul-99	24.027	54.213	-124.809	-113.377	39.304	-14.935
Aug-99	21.544	53.791	-140.209	-123.846	29.811	-21.387
Sep-99	18.707	54.038	-151.160	-131.329	22.435	-25.814
Oct-99	17.238	54.152	-163.129	-139.672	16.562	-30.762
Nov-99	13.920	53.561	-175.716	-149.194	9.489	-37.115
Dec-99	13.782	53.059	-187.823	-157.838	4.899	-41.504
Jan-00	17.140	52.831	-199.774	-166.268	0.440	-43.724
Feb-00	15.839	51.916	-211.355	-174.358	-4.116	-48.939
Mar-00	13.876	51.473	-221.590	-181.289	-8.925	-54.046
Apr-00	12.874	50.649	-231.778	-188.650	-12.087	-58.170
May-00	11.671	49.897	-238.837	-193.581	-15.265	-61.410
Jun-00	11.922	49.888	-241.413	-194.837	-15.431	-61.859
Jul-00	12.427	50.349	-241.977	-194.150	-14.191	-60.756
Aug-00	12.855	50.703	-241.940	-193.150	-12.725	-59.523
Sep-00	13.167	51.168	-243.717	-193.176	-12.186	-59.081
Oct-00	13.321	52.445	-243.568	-191.131	-9.475	-56.427
Nov-00	14.988	55.997	-239.009	-183.897	-1.799	-48.555
Dec-00	15.891	57.363	-231.893	-177.451	2.462	-44.463
Jan-01	21.542	59.184	-218.586	-167.596	10.170	-37.226
Feb-01	24.740	59.732	-204.687	-157.987	14.532	-31.759
Mar-01	25.948	60.473	-188.150	-145.957	15.974	-25.094
Apr-01	24.720	61.640	-171.681	-134.248	19.094	-19.538
May-01	31.635	63.873	-154.975	-120.810	26.220	-10.158
Jun-01	37.653	66.094	-143.452	-110.237	33.141	-1.249
Jul-01	40.881	66.008	-140.615	-106.179	35.039	2.521
Aug-01	42.056	65.510	-138.323	-102.166	35.668	5.039
Sep-01	39.150	63.369	-139.081	-98.212	34.857	6.849
Oct-01	35.612	59.608	-141.795	-93.141	30.836	9.301
Nov-01	32.824	56.901	-142.923	-88.043	30.035	11.486
Dec-01	34.444	55.503	-141.981	-82.532	31.579	16.288
Jan-02	32.738	54.025	-141.473	-78.359	31.220	18.158
Feb-02	28.708	52.728	-139.741	-74.284	29.609	19.337
Mar-02	30.122	55.396	-134.309	-70.358	34.364	23.414
Apr-02	33.021	59.163	-128.057	-65.145	40.279	28.832
May-02	33.205	59.624	-127.630	-64.900	40.873	29.368
Jun-02	33.230	58.554	-130.197	-65.242	39.911	28.862
Jul-02	33.520	56.653	-132.555	-64.612	38.410	28.476
Aug-02	31.683	53.948	-135.757	-65.262	34.699	26.128
Sep-02	24.892	51.921	-133.234	-59.484	34.137	25.593
Oct-02	23.449	48.132	-141.544	-63.579	28.891	19.705
Nov-02	24.583	45.111	-149.820	-68.266	25.054	13.689
Dec-02	24.125	39.928	-165.611	-78.737	16.162	3.084
Jan-03	23.827	35.495	-184.017	-91.291	4.921	-6.428
Feb-03	25.320	31.495	-198.484	-101.026	-4.412	-14.243
Mar-03	25.431	30.270	-204.821	-104.453	-7.206	-16.305
Apr-03	25.490	28.075	-216.879	-111.051	-12.016	-20.884
May-03	26.476	23.048	-237.579	-121.921	-20.680	-27.635
Jun-03	24.383	19.099	-257.273	-132.403	-30.655	-35.479
Jul-03	22.404	18.909	-267.382	-136.177	-35.231	-38.901
Aug-03	23.435	21.639	-269.115	-134.051	-33.314	-36.460
Sep-03	23.022	20.157	-286.886	-141.546	-39.162	-40.473
Oct-03	23.370	21.117	-295.860	-143.207	-40.325	-40.165
Nov-03	25.274	25.832	-289.530	-136.962	-34.143	-34.019
Dec-03	26.556	28.914	-287.446	-133.495	-31.891	-30.585

Figure 10c. Trace Cumulative Squared Prediction Errors, 6-Month Forecast Horizon, 1994 - 2003: Forecast Combinations

Data for Figure 10c

Month	FC-MSPE	FC-MSPE-X	FC-MSPE-ALL	FC-MCS-EW
Jan-94	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A
Mar-94	#N/A	#N/A	#N/A	#N/A
Apr-94	#N/A	#N/A	#N/A	#N/A
May-94	#N/A	#N/A	#N/A	#N/A
Jun-94	12.846	-2.316	4.779	-6.089
Jul-94	26.039	-3.837	10.123	-10.020
Aug-94	34.287	-7.370	11.967	-14.904
Sep-94	39.880	-7.708	14.379	-12.138
Oct-94	43.287	-10.212	14.505	-11.307
Nov-94	47.394	-17.501	12.116	-15.583
Dec-94	50.822	-23.338	10.260	-18.203
Jan-95	55.829	-28.161	9.935	-20.148
Feb-95	58.902	-29.986	10.565	-20.568
Mar-95	61.271	-29.029	12.360	-19.058
Apr-95	63.306	-26.328	15.047	-17.070
May-95	66.571	-14.809	23.821	-11.286
Jun-95	72.942	2.611	37.875	-2.329
Jul-95	72.405	12.226	44.091	2.173
Aug-95	69.100	17.262	46.145	3.298
Sep-95	65.063	22.829	48.216	4.470
Oct-95	59.727	27.849	49.379	5.383
Nov-95	53.448	29.094	48.006	3.885
Dec-95	46.661	31.594	47.201	3.170
Jan-96	38.348	35.046	46.169	2.158
Feb-96	34.452	36.309	46.019	1.980
Mar-96	33.324	35.669	46.334	2.212
Apr-96	35.080	33.088	47.174	3.205
May-96	41.441	28.549	49.511	5.024
Jun-96	47.637	23.059	50.693	5.989
Jul-96	56.954	19.074	54.111	8.579
Aug-96	61.997	16.461	55.818	9.582
Sep-96	62.727	14.281	55.861	9.115
Oct-96	61.287	14.531	56.198	9.228
Nov-96	59.041	17.276	57.289	10.363
Dec-96	57.799	17.693	57.615	10.604
Jan-97	56.276	18.603	58.112	11.102
Feb-97	55.033	19.482	58.676	11.605
Mar-97	55.704	16.492	58.028	10.464
Apr-97	57.289	14.098	58.184	10.431
May-97	59.736	11.813	58.869	11.389
Jun-97	59.801	10.660	58.833	11.326
Jul-97	58.069	11.061	58.787	11.107
Aug-97	57.134	10.990	58.864	11.158
Sep-97	55.159	14.121	60.199	12.515
Oct-97	53.016	17.833	62.029	14.300
Nov-97	51.730	20.322	63.619	15.584
Dec-97	49.700	22.429	64.541	16.285
Jan-98	46.457	23.643	64.639	16.199
Feb-98	44.046	25.582	65.200	16.465
Mar-98	42.774	26.055	65.613	16.619
Apr-98	41.208	25.708	65.631	16.610
May-98	39.125	26.372	65.840	16.758
Jun-98	36.956	26.680	65.904	16.686
Jul-98	36.259	25.862	65.967	16.815
Aug-98	31.684	28.465	66.270	16.734
Sep-98	23.801	35.477	67.553	17.601
Oct-98	17.874	41.599	69.075	18.005
Nov-98	13.561	46.353	70.597	18.696
Dec-98	8.531	51.632	72.518	20.799
Jan-99	3.886	57.577	75.019	23.434
Feb-99	4.191	56.206	75.509	23.776
Mar-99	8.459	51.096	75.836	23.652
Apr-99	13.061	47.672	77.094	24.582
May-99	18.158	44.822	78.744	26.071
Jun-99	23.650	39.396	79.153	26.155
Jul-99	30.131	34.257	80.105	26.457
Aug-99	32.379	29.177	78.953	24.688
Sep-99	35.085	25.419	78.779	23.738
Oct-99	38.063	21.776	78.680	23.271
Nov-99	40.000	17.174	77.437	21.080
Dec-99	42.250	13.892	76.935	20.783
Jan-00	44.748	11.736	77.036	22.189
Feb-00	46.765	8.183	76.213	21.204
Mar-00	49.186	4.854	75.698	20.045
Apr-00	50.917	1.985	75.075	19.527
May-00	51.230	-0.264	74.213	18.746
Jun-00	51.489	-0.399	74.423	19.044
Jul-00	51.974	0.594	75.351	19.950
Aug-00	51.871	1.666	76.022	20.517
Sep-00	51.497	2.253	76.419	20.519
Oct-00	52.717	4.278	78.306	21.951
Nov-00	57.117	10.300	84.066	26.866
Dec-00	55.833	14.067	85.818	27.574
Jan-01	51.117	20.328	87.504	29.482
Feb-01	44.965	25.363	87.727	29.242
Mar-01	37.621	30.385	87.357	27.702
Apr-01	31.320	34.931	87.190	25.733
May-01	26.021	42.452	89.561	29.099
Jun-01	23.013	48.941	92.532	34.382
Jul-01	17.377	51.326	91.641	35.506
Aug-01	12.843	52.934	90.532	35.883
Sep-01	2.827	52.842	85.742	32.927
Oct-01	-11.225	51.871	78.453	27.311
Nov-01	-21.881	51.830	73.474	24.588
Dec-01	-31.451	53.738	70.395	25.156
Jan-02	-39.214	54.347	67.263	24.234
Feb-02	-46.568	54.452	64.014	21.774
Mar-02	-43.454	57.866	67.776	25.420
Apr-02	-39.146	62.679	72.640	29.818
May-02	-39.654	63.219	72.996	30.354
Jun-02	-43.198	62.659	71.257	29.702
Jul-02	-49.401	62.051	68.264	28.647
Aug-02	-56.646	60.123	63.841	26.047
Sep-02	-63.291	59.827	60.567	24.001
Oct-02	-72.877	56.017	53.757	19.904
Nov-02	-81.228	52.959	48.017	17.360
Dec-02	-92.633	46.439	38.570	11.725
Jan-03	-103.201	39.929	29.390	6.502
Feb-03	-113.214	35.084	21.633	3.039
Mar-03	-117.696	34.085	18.912	2.582
Apr-03	-123.483	31.350	14.334	0.678
May-03	-133.563	25.463	5.821	-4.109
Jun-03	-140.925	19.480	-1.651	-8.565
Jul-03	-142.229	17.665	-3.737	-9.464
Aug-03	-139.458	20.380	-1.088	-6.740
Sep-03	-142.842	17.392	-4.847	-8.129
Oct-03	-142.568	17.858	-4.735	-7.138
Nov-03	-137.094	23.116	0.914	-2.692
Dec-03	-133.876	26.306	4.098	-0.704

Figure 11a. Trace Cumulative Squared Prediction Errors, 12-Month Forecast Horizon, 1994 - 2003: Yield-Only Models

Data for Figure 11a

Month	AR	VAR	NS2-AR	NS2-VAR	NS1	ATSM
Jan-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jul-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Aug-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Sep-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Oct-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Nov-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Dec-94	44.739	78.409	65.648	41.342	46.760	42.104
Jan-95	90.443	158.376	128.577	83.897	95.560	85.763
Feb-95	117.598	197.621	162.244	107.653	122.635	110.421
Mar-95	136.096	222.214	184.333	122.797	138.959	126.268
Apr-95	145.632	233.662	194.787	132.451	150.970	136.396
May-95	144.953	231.116	195.175	138.725	157.122	142.448
Jun-95	141.770	227.249	193.486	145.166	163.242	148.582
Jul-95	140.357	221.969	192.008	148.588	166.633	151.624
Aug-95	135.529	211.112	186.223	148.307	164.562	150.713
Sep-95	128.074	202.190	180.110	150.080	165.593	151.686
Oct-95	118.457	192.741	173.430	151.995	165.557	152.618
Nov-95	106.933	182.283	180.226	154.021	168.754	151.877
Dec-95	93.666	171.499	203.002	158.188	169.980	152.498
Jan-96	78.441	147.771	206.270	148.658	161.258	140.080
Feb-96	65.826	121.378	200.272	134.892	146.390	124.672
Mar-96	55.801	99.044	194.091	122.804	135.149	111.196
Apr-96	48.191	79.977	188.476	112.384	124.018	100.105
May-96	48.018	70.777	190.225	110.416	119.010	97.937
Jun-96	47.320	60.024	191.262	107.885	114.450	95.228
Jul-96	46.437	50.257	190.586	105.379	110.737	92.453
Aug-96	48.076	45.836	193.517	106.571	110.494	93.479
Sep-96	47.557	35.861	194.922	104.614	106.791	91.222
Oct-96	45.246	19.406	194.553	99.632	99.310	85.719
Nov-96	42.856	-1.805	193.344	92.701	90.064	78.308
Dec-96	47.385	-5.363	198.572	97.454	92.400	82.954
Jan-97	53.574	-5.627	206.540	104.804	98.186	90.253
Feb-97	55.864	-10.903	209.068	106.720	99.308	92.004
Mar-97	58.665	-12.131	212.448	109.596	101.456	94.717
Apr-97	57.582	-19.231	212.018	108.496	99.948	93.249
May-97	53.854	-29.738	209.664	105.215	97.024	89.331
Jun-97	50.316	-41.021	207.772	102.006	93.542	85.460
Jul-97	42.649	-59.870	203.002	94.759	87.310	77.049
Aug-97	36.537	-74.176	198.991	89.495	83.207	70.806
Sep-97	29.799	-91.645	194.232	83.035	77.496	63.401
Oct-97	23.629	-112.673	188.783	75.071	69.099	54.545
Nov-97	20.529	-130.072	186.848	69.989	63.295	48.661
Dec-97	14.080	-150.440	182.242	62.802	56.407	40.301
Jan-98	4.416	-176.930	174.314	52.011	47.282	28.068
Feb-98	-4.195	-199.846	169.011	43.187	40.347	17.636
Mar-98	-14.106	-220.703	164.225	35.177	35.871	7.748
Apr-98	-23.976	-242.797	160.162	26.431	28.362	-2.414
May-98	-33.806	-264.847	156.731	18.545	20.085	-11.846
Jun-98	-43.327	-289.349	151.463	8.902	13.645	-23.100
Jul-98	-50.434	-314.880	147.827	-1.205	4.570	-34.538
Aug-98	-64.297	-349.972	141.063	-16.264	-7.636	-51.839
Sep-98	-83.999	-399.261	134.065	-36.914	-26.696	-75.337
Oct-98	-102.347	-451.154	127.194	-60.319	-49.469	-101.300
Nov-98	-118.377	-497.090	124.685	-80.240	-67.664	-123.969
Dec-98	-133.837	-545.107	120.647	-101.995	-89.067	-148.151
Jan-99	-147.688	-593.920	114.436	-123.448	-110.602	-170.955
Feb-99	-155.866	-624.607	112.964	-135.667	-122.586	-184.576
Mar-99	-165.441	-657.357	111.008	-148.971	-133.589	-199.658
Apr-99	-174.019	-685.449	110.618	-158.655	-143.906	-210.838
May-99	-178.479	-704.079	111.170	-163.788	-151.455	-216.849
Jun-99	-180.947	-719.291	112.094	-167.250	-155.689	-220.965
Jul-99	-182.394	-730.837	113.025	-169.187	-158.990	-223.404
Aug-99	-176.346	-728.507	118.003	-161.498	-152.913	-215.505
Sep-99	-163.146	-711.414	121.975	-145.556	-137.350	-198.768
Oct-99	-148.371	-690.721	133.412	-127.343	-119.252	-180.040
Nov-99	-134.052	-669.578	141.585	-109.528	-101.970	-161.452
Dec-99	-116.425	-638.949	148.029	-88.609	-81.863	-139.128
Jan-00	-94.515	-597.537	156.185	-62.602	-58.699	-111.246
Feb-00	-81.769	-579.287	159.901	-49.902	-48.752	-97.588
Mar-00	-68.837	-563.346	167.082	-36.849	-37.698	-83.988
Apr-00	-55.754	-545.675	173.963	-23.959	-26.190	-70.295
May-00	-47.952	-537.168	176.238	-17.634	-21.012	-63.119
Jun-00	-42.029	-532.891	177.848	-12.382	-15.410	-57.483
Jul-00	-36.111	-528.082	179.948	-6.611	-9.724	-51.413
Aug-00	-33.312	-528.656	180.401	-3.078	-5.307	-48.000
Sep-00	-30.357	-529.420	181.086	0.468	-1.040	-44.581
Oct-00	-28.644	-531.265	181.325	3.737	3.153	-41.504
Nov-00	-31.943	-542.354	180.738	1.960	2.373	-44.208
Dec-00	-40.137	-560.598	180.590	-3.840	-1.843	-51.587
Jan-01	-52.426	-583.693	186.548	-12.331	-4.885	-62.859
Feb-01	-65.722	-611.048	193.184	-23.547	-12.181	-77.097
Mar-01	-80.023	-645.128	206.202	-39.052	-22.755	-95.694
Apr-01	-93.480	-671.016	225.502	-47.980	-27.769	-108.351
May-01	-107.843	-692.959	250.138	-51.710	-38.022	-115.836
Jun-01	-121.004	-722.291	265.549	-64.980	-51.293	-131.799
Jul-01	-135.745	-761.151	279.021	-87.024	-72.336	-155.663
Aug-01	-151.430	-805.937	292.602	-112.854	-99.817	-183.476
Sep-01	-172.474	-860.861	303.384	-145.844	-141.579	-217.271
Oct-01	-195.785	-926.777	312.611	-187.974	-193.161	-259.919
Nov-01	-216.089	-983.877	322.360	-222.262	-238.121	-293.726
Dec-01	-234.893	-1034.219	326.131	-248.153	-274.462	-319.020
Jan-02	-255.852	-1085.745	312.557	-270.466	-303.958	-341.242
Feb-02	-276.883	-1140.990	296.552	-294.140	-292.936	-364.453
Mar-02	-291.529	-1177.604	286.087	-305.383	-306.948	-375.817
Apr-02	-312.902	-1228.830	259.311	-324.307	-330.538	-395.566
May-02	-334.662	-1282.170	228.908	-342.604	-350.249	-415.224
Jun-02	-359.544	-1341.481	194.747	-364.008	-374.205	-437.562
Jul-02	-386.027	-1414.562	146.938	-391.714	-405.845	-465.189
Aug-02	-413.498	-1494.384	100.668	-419.250	-440.141	-492.778
Sep-02	-439.608	-1590.333	36.091	-445.617	-475.258	-517.969
Oct-02	-458.852	-1680.671	-20.368	-465.118	-501.607	-536.750
Nov-02	-478.195	-1757.791	-72.069	-479.753	-518.383	-551.998
Dec-02	-504.537	-1846.469	-141.110	-496.476	-536.584	-569.709
Jan-03	-529.763	-1929.778	-201.462	-512.501	-554.587	-586.829
Feb-03	-555.960	-2019.713	-264.548	-529.987	-574.471	-605.083
Mar-03	-586.166	-2099.561	-318.804	-542.030	-584.962	-619.397
Apr-03	-613.229	-2185.047	-381.952	-558.429	-600.321	-637.202
May-03	-642.937	-2279.814	-450.794	-576.743	-618.480	-656.220
Jun-03	-670.828	-2378.615	-525.239	-597.712	-641.149	-677.441
Jul-03	-686.291	-2454.235	-584.692	-612.416	-662.748	-691.418
Aug-03	-696.974	-2519.582	-621.762	-621.010	-677.341	-699.944
Sep-03	-707.738	-2601.291	-658.902	-630.614	-693.665	-708.745
Oct-03	-714.947	-2666.408	-695.750	-635.955	-704.490	-713.528
Nov-03	-723.684	-2729.439	-731.290	-642.467	-714.460	-720.088
Dec-03	-728.839	-2791.349	-761.748	-645.526	-721.612	-722.951

Figure 11b. Trace Cumulative Squared Prediction Errors, 12-Month Forecast Horizon, 1994 - 2003: Macro Models

Data for Figure 11b

Month	AR-X	VAR-X	NS2-AR-X	NS2-VAR-X	NS1-X	ATSM-X
Jan-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Mar-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Apr-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
May-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jun-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Jul-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Aug-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Sep-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Oct-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Nov-94	#N/A	#N/A	#N/A	#N/A	#N/A	#N/A
Dec-94	-16.162	14.816	-8.777	-35.258	-5.360	-13.122
Jan-95	-22.168	30.565	-17.809	-70.958	-4.530	-24.699
Feb-95	-28.419	37.599	-32.388	-101.541	-10.178	-39.433
Mar-95	-19.685	43.190	-32.618	-113.782	-6.881	-38.255
Apr-95	-13.467	46.064	-36.724	-123.780	-6.018	-38.894
May-95	-9.849	48.209	-35.923	-124.533	-1.257	-37.219
Jun-95	-4.323	50.795	-29.109	-118.783	8.215	-30.116
Jul-95	-2.080	52.095	-29.109	-120.940	10.644	-30.570
Aug-95	0.879	52.751	-26.952	-119.622	14.958	-27.983
Sep-95	4.973	54.526	-17.262	-109.062	26.670	-17.200
Oct-95	10.998	57.042	-2.606	-92.038	43.319	-0.604
Nov-95	21.805	63.720	30.378	-59.670	75.117	29.111
Dec-95	36.174	75.452	78.922	-12.013	119.151	73.029
Jan-96	55.917	81.820	118.002	25.353	156.610	108.046
Feb-96	64.618	83.667	132.313	39.826	171.426	122.294
Mar-96	71.927	84.795	138.792	46.913	180.617	130.329
Apr-96	75.649	85.442	135.940	45.528	183.653	132.522
May-96	73.346	86.616	116.913	30.090	181.329	126.291
Jun-96	71.444	87.398	94.286	11.323	177.370	119.751
Jul-96	68.435	87.880	75.258	-5.882	171.032	110.815
Aug-96	65.980	88.615	50.827	-26.170	163.698	102.285
Sep-96	63.783	89.175	25.225	-45.648	157.562	94.102
Oct-96	61.307	89.602	1.030	-63.810	152.303	85.411
Nov-96	55.635	90.238	-24.599	-83.230	144.648	74.421
Dec-96	51.689	91.498	-67.671	-118.121	138.190	61.999
Jan-97	45.046	93.957	-97.711	-144.912	130.753	51.117
Feb-97	42.723	94.865	-113.631	-160.230	125.649	45.496
Mar-97	37.763	95.225	-139.829	-182.440	113.307	34.990
Apr-97	34.183	95.060	-157.482	-198.188	102.841	26.336
May-97	34.368	95.086	-165.800	-204.955	99.380	23.904
Jun-97	34.094	95.068	-174.735	-212.478	95.620	19.970
Jul-97	36.865	95.301	-175.487	-212.205	97.993	21.424
Aug-97	38.824	95.492	-178.145	-213.848	98.192	21.252
Sep-97	40.472	95.566	-181.684	-216.586	97.875	20.577
Oct-97	41.301	95.195	-187.650	-221.391	97.120	18.323
Nov-97	41.170	95.001	-201.472	-231.855	94.575	14.797
Dec-97	42.431	94.646	-205.596	-235.112	95.010	13.806
Jan-98	45.451	94.094	-203.868	-233.086	98.898	15.651
Feb-98	48.168	93.931	-203.045	-231.720	102.513	17.778
Mar-98	52.488	94.414	-195.726	-224.224	111.412	24.230
Apr-98	58.122	95.173	-192.039	-219.736	117.899	29.062
May-98	63.716	96.130	-191.050	-217.318	123.525	33.051
Jun-98	68.061	96.205	-192.170	-216.609	127.913	36.779
Jul-98	69.386	95.953	-205.447	-224.982	125.713	33.724
Aug-98	73.933	95.947	-197.089	-216.040	135.703	41.768
Sep-98	81.699	96.236	-178.109	-198.094	151.571	56.553
Oct-98	90.289	95.835	-164.167	-184.439	164.434	67.097
Nov-98	95.291	95.738	-153.623	-173.361	175.466	75.645
Dec-98	100.904	95.233	-145.296	-164.116	184.851	83.948
Jan-99	104.074	93.839	-142.614	-159.609	189.531	87.062
Feb-99	105.412	93.712	-153.053	-162.994	190.754	88.105
Mar-99	107.775	93.480	-158.405	-162.826	193.417	90.896
Apr-99	108.465	93.446	-167.125	-165.113	195.346	92.481
May-99	107.861	93.639	-186.494	-174.815	193.715	90.390
Jun-99	103.731	94.035	-212.401	-189.334	183.802	81.847
Jul-99	98.252	94.337	-241.963	-207.087	172.611	71.011
Aug-99	91.128	96.423	-278.894	-231.302	162.406	59.525
Sep-99	80.291	100.419	-338.910	-276.081	143.600	34.850
Oct-99	70.666	105.151	-385.980	-312.272	131.036	16.829
Nov-99	68.533	109.599	-438.289	-347.178	123.257	7.345
Dec-99	61.599	114.050	-504.920	-391.458	107.460	-10.949
Jan-00	55.165	119.837	-573.677	-435.808	86.084	-25.770
Feb-00	44.632	120.930	-622.412	-469.640	58.013	-46.000
Mar-00	34.615	122.712	-660.953	-497.150	34.734	-61.983
Apr-00	28.907	124.533	-697.837	-523.463	18.197	-75.784
May-00	20.997	124.637	-728.206	-546.695	1.205	-90.484
Jun-00	20.531	124.951	-749.884	-561.867	-5.587	-97.059
Jul-00	25.143	125.865	-764.591	-571.408	-7.457	-97.222
Aug-00	24.734	126.064	-778.781	-580.585	-11.514	-102.354
Sep-00	23.641	126.338	-791.689	-588.870	-16.426	-107.655
Oct-00	23.884	126.719	-802.568	-595.605	-17.859	-109.575
Nov-00	24.814	126.887	-806.634	-597.093	-17.157	-109.285
Dec-00	27.482	127.287	-799.772	-590.650	-10.751	-104.010
Jan-01	30.949	128.712	-780.327	-574.831	4.265	-92.471
Feb-01	32.982	129.778	-759.986	-559.133	15.705	-83.784
Mar-01	40.162	131.694	-732.555	-537.795	31.988	-71.332
Apr-01	41.796	135.134	-703.906	-514.378	48.747	-57.572
May-01	44.729	140.695	-669.725	-484.184	64.324	-37.174
Jun-01	48.224	143.025	-639.704	-459.572	77.404	-22.953
Jul-01	63.060	145.417	-601.837	-429.020	100.273	0.597
Aug-01	72.800	146.925	-560.878	-397.820	116.506	18.774
Sep-01	80.641	148.255	-504.263	-354.211	128.373	40.476
Oct-01	83.690	148.198	-444.763	-312.856	138.767	56.455
Nov-01	105.104	150.401	-387.622	-267.899	163.518	85.829
Dec-01	125.071	152.960	-343.684	-229.954	187.451	114.563
Jan-02	135.882	152.720	-321.941	-207.532	200.200	132.025
Feb-02	140.350	151.590	-302.827	-187.191	207.014	143.611
Mar-02	139.947	151.908	-290.874	-174.128	212.496	152.009
Apr-02	136.804	148.815	-285.111	-164.087	210.518	154.755
May-02	133.587	145.094	-281.720	-155.596	209.184	156.041
Jun-02	135.962	141.190	-276.640	-144.602	211.628	162.117
Jul-02	129.740	134.544	-279.029	-140.124	201.156	155.662
Aug-02	119.135	127.071	-280.179	-135.970	185.738	146.828
Sep-02	109.366	116.744	-304.194	-144.644	162.913	132.744
Oct-02	88.498	107.814	-331.670	-158.465	126.370	105.570
Nov-02	83.807	101.043	-345.150	-162.503	113.922	96.176
Dec-02	81.076	91.923	-365.510	-169.185	103.369	87.773
Jan-03	79.612	83.982	-377.149	-172.651	95.481	81.162
Feb-03	72.125	74.400	-393.139	-182.432	80.131	66.717
Mar-03	58.336	66.294	-406.078	-190.749	67.265	50.278
Apr-03	50.422	56.531	-436.034	-212.962	50.066	28.656
May-03	46.466	45.315	-474.501	-241.615	32.643	5.659
Jun-03	38.089	32.851	-522.456	-278.259	7.059	-22.675
Jul-03	33.258	26.146	-560.336	-305.445	-12.800	-38.925
Aug-03	31.961	23.287	-579.754	-318.707	-20.389	-44.665
Sep-03	30.661	19.667	-597.382	-330.802	-27.824	-50.167
Oct-03	29.141	18.399	-615.511	-340.375	-32.613	-53.607
Nov-03	27.897	15.618	-636.789	-351.092	-38.385	-57.494
Dec-03	24.950	15.066	-659.037	-361.419	-47.134	-63.207

Figure 11c. Trace Cumulative Squared Prediction Errors, 12-Month Forecast Horizon, 1994 - 2003: Forecast Combinations

Notes: Figures 10 and 11 show the Trace Cumulative Squared Prediction Error, relative to the random walk, of individual yield-only models in Panel (a), individual models with macro factors in Panel (b) and of forecast combinations schemes in Panel (c). Figure 10 shows TCSPEs for a 6-month forecast horizon whereas Figure 11 does so for a 12-month horizon. The forecast sample is 1994:1 - 2003:12.

Data for Figure 11c

Month	FC-MSPE	FC-MSPE-X	FC-MSPE-ALL	FC-MCS-EW
Jan-94	#N/A	#N/A	#N/A	#N/A
Feb-94	#N/A	#N/A	#N/A	#N/A
Mar-94	#N/A	#N/A	#N/A	#N/A
Apr-94	#N/A	#N/A	#N/A	#N/A
May-94	#N/A	#N/A	#N/A	#N/A
Jun-94	#N/A	#N/A	#N/A	#N/A
Jul-94	#N/A	#N/A	#N/A	#N/A
Aug-94	#N/A	#N/A	#N/A	#N/A
Sep-94	#N/A	#N/A	#N/A	#N/A
Oct-94	#N/A	#N/A	#N/A	#N/A
Nov-94	#N/A	#N/A	#N/A	#N/A
Dec-94	41.195	-10.204	11.458	-20.504
Jan-95	83.216	-17.430	25.124	-33.768
Feb-95	106.869	-26.516	30.029	-45.241
Mar-95	122.432	-24.864	37.910	-41.124
Apr-95	131.863	-24.378	42.699	-39.362
May-95	135.575	-21.533	47.404	-36.658
Jun-95	138.703	-15.045	53.994	-31.162
Jul-95	140.512	-13.562	57.029	-30.193
Aug-95	138.848	-10.767	59.403	-28.305
Sep-95	137.730	-3.076	64.550	-22.716
Oct-95	135.944	8.082	71.498	-16.211
Nov-95	135.039	30.301	86.243	-1.221
Dec-95	136.423	64.014	109.806	23.081
Jan-96	127.751	91.493	125.125	37.930
Feb-96	116.334	103.393	129.688	42.031
Mar-96	106.757	111.598	133.261	45.029
Apr-96	98.821	115.409	135.410	47.081
May-96	98.616	112.460	137.947	49.795
Jun-96	97.834	108.568	139.464	51.394
Jul-96	96.681	103.869	140.135	51.865
Aug-96	98.693	98.246	141.509	53.468
Sep-96	98.240	93.331	142.582	54.741
Oct-96	95.323	88.731	143.147	55.109
Nov-96	91.435	82.923	143.740	55.666
Dec-96	96.728	73.363	145.342	57.293
Jan-97	104.281	65.111	148.563	60.954
Feb-97	106.715	60.626	149.866	62.177
Mar-97	109.795	52.341	149.639	62.007
Apr-97	109.105	46.496	148.796	61.058
May-97	106.379	45.323	148.862	61.090
Jun-97	103.680	43.511	148.846	60.565
Jul-97	97.388	45.972	149.641	60.531
Aug-97	92.778	47.337	150.551	60.979
Sep-97	87.207	48.290	151.136	61.093
Oct-97	80.714	47.954	150.384	59.776
Nov-97	77.072	45.736	149.831	58.851
Dec-97	70.961	46.167	149.186	57.555
Jan-98	61.800	48.964	148.476	56.827
Feb-98	54.275	51.829	148.526	56.919
Mar-98	47.196	58.111	150.460	58.948
Apr-98	39.613	63.905	152.859	61.560
May-98	32.322	69.329	155.453	63.956
Jun-98	24.323	73.613	156.791	65.125
Jul-98	16.795	73.282	156.525	64.895
Aug-98	4.397	81.085	157.586	66.744
Sep-98	-12.967	93.875	159.730	70.307
Oct-98	-31.334	104.346	160.565	72.733
Nov-98	-46.542	113.068	161.335	74.742
Dec-98	-62.816	121.080	161.560	76.173
Jan-99	-78.582	125.642	159.703	75.522
Feb-99	-86.990	127.464	160.292	76.699
Mar-99	-96.246	130.697	161.186	77.977
Apr-99	-103.466	132.719	161.619	78.639
May-99	-106.836	131.367	161.991	78.799
Jun-99	-108.412	126.248	162.196	78.579
Jul-99	-108.915	119.600	161.949	77.577
Aug-99	-101.336	110.791	163.827	78.343
Sep-99	-86.246	93.890	164.904	76.872
Oct-99	-69.369	80.925	168.460	78.318
Nov-99	-53.360	70.992	172.585	80.978
Dec-99	-34.745	55.088	174.457	81.023
Jan-00	-12.291	38.610	177.346	80.766
Feb-00	-1.206	21.988	174.675	75.149
Mar-00	10.196	8.446	173.821	70.872
Apr-00	21.691	-2.901	174.002	69.074
May-00	27.820	-13.950	171.840	64.433
Jun-00	32.641	-19.236	171.947	63.170
Jul-00	37.590	-20.457	174.044	64.719
Aug-00	40.366	-23.599	174.410	63.680
Sep-00	43.225	-26.864	174.745	62.661
Oct-00	45.574	-28.369	175.721	62.534
Nov-00	43.746	-27.811	176.076	62.527
Dec-00	38.620	-23.315	177.018	63.779
Jan-01	32.408	-13.758	180.429	66.710
Feb-01	24.255	-5.496	182.009	66.994
Mar-01	14.708	6.742	185.734	68.604
Apr-01	9.762	18.983	191.358	71.392
May-01	7.205	35.041	200.539	76.629
Jun-01	-0.860	47.249	204.916	77.746
Jul-01	-14.073	65.555	210.899	81.694
Aug-01	-29.799	81.581	214.098	81.392
Sep-01	-51.726	100.191	215.761	78.362
Oct-01	-79.263	116.303	212.870	70.252
Nov-01	-101.399	140.332	218.185	73.054
Dec-01	-119.223	161.761	224.286	78.052
Jan-02	-138.000	173.405	223.947	80.321
Feb-02	-151.872	181.631	222.983	78.453
Mar-02	-162.208	186.836	222.128	77.723
Apr-02	-181.233	187.965	214.593	71.995
May-02	-200.296	188.441	206.654	66.370
Jun-02	-222.462	191.576	199.203	62.059
Jul-02	-250.179	187.641	184.229	49.232
Aug-02	-278.819	182.020	167.728	35.522
Sep-02	-309.468	170.113	146.105	15.984
Oct-02	-333.287	153.000	123.672	-5.078
Nov-02	-353.376	146.345	110.451	-16.191
Dec-02	-378.966	138.812	94.190	-29.970
Jan-03	-402.885	133.608	80.378	-41.746
Feb-03	-428.501	123.684	62.427	-57.280
Mar-03	-450.539	113.744	45.869	-70.554
Apr-03	-475.133	99.467	25.364	-88.332
May-03	-502.550	83.714	2.634	-107.851
Jun-03	-531.638	63.364	-23.969	-131.969
Jul-03	-551.164	50.720	-41.522	-147.143
Aug-03	-563.460	46.151	-50.260	-154.098
Sep-03	-576.659	41.808	-59.205	-160.225
Oct-03	-585.446	39.132	-65.265	-164.276
Nov-03	-595.604	34.934	-72.792	-169.694
Dec-03	-601.751	30.964	-78.949	-174.332

Figure 12a. Observed and Predicted Yields, 1-Month Forecast Horizon: 3-Month Yield

Data for Figure 12a

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	3.016	3.071	3.133	3.285	3.114	3.096
Feb-94	3.431	3.073	3.077	3.171	3.007	2.965
Mar-94	3.536	3.434	3.421	3.555	3.423	3.418
Apr-94	3.945	3.626	3.737	3.758	3.653	3.648
May-94	4.270	4.125	4.177	4.109	4.040	4.020
Jun-94	4.223	4.264	4.251	4.378	4.283	4.296
Jul-94	4.353	4.255	4.280	4.371	4.283	4.275
Aug-94	4.644	4.378	4.392	4.480	4.373	4.370
Sep-94	4.776	4.655	4.690	4.765	4.661	4.680
Oct-94	5.138	4.852	4.961	4.963	4.884	4.890
Nov-94	5.665	5.199	5.157	5.163	5.145	5.166
Dec-94	5.662	5.669	5.649	5.688	5.653	5.713
Jan-95	5.932	5.676	5.589	5.662	5.628	5.728
Feb-95	5.868	5.878	5.824	5.913	5.841	5.923
Mar-95	5.823	5.868	5.781	5.820	5.759	5.825
Apr-95	5.809	5.810	5.861	5.901	5.779	5.846
May-95	5.742	5.734	5.757	5.867	5.728	5.801
Jun-95	5.551	5.744	5.670	5.726	5.627	5.693
Jul-95	5.527	5.556	5.425	5.487	5.430	5.479
Aug-95	5.398	5.548	5.498	5.529	5.417	5.471
Sep-95	5.353	5.437	5.415	5.440	5.344	5.397
Oct-95	5.421	5.404	5.403	5.421	5.300	5.365
Nov-95	5.424	5.423	5.269	5.349	5.269	5.333
Dec-95	5.059	5.350	5.275	5.419	5.263	5.354
Jan-96	5.000	5.012	4.767	4.925	4.870	4.931
Feb-96	4.982	5.051	4.945	4.990	4.893	4.942
Mar-96	5.099	4.958	4.953	5.049	4.907	4.963
Apr-96	5.100	5.134	5.175	5.187	5.062	5.121
May-96	5.138	5.085	5.022	5.089	4.993	5.055
Jun-96	5.144	5.221	5.233	5.184	5.098	5.144
Jul-96	5.279	5.219	5.139	5.118	5.074	5.114
Aug-96	5.249	5.277	5.228	5.278	5.201	5.258
Sep-96	5.057	5.244	5.252	5.295	5.190	5.250
Oct-96	5.116	5.020	5.058	5.147	5.016	5.079
Nov-96	5.098	5.096	5.047	5.127	5.026	5.084
Dec-96	5.120	5.115	5.040	5.092	5.033	5.077
Jan-97	5.125	5.196	5.120	5.093	5.073	5.108
Feb-97	5.196	5.132	5.097	5.134	5.057	5.108
Mar-97	5.286	5.227	5.198	5.195	5.149	5.188
Apr-97	5.256	5.304	5.342	5.349	5.280	5.331
May-97	5.140	5.252	5.204	5.251	5.188	5.232
Jun-97	5.194	5.065	4.991	5.112	5.045	5.100
Jul-97	5.203	5.194	5.137	5.176	5.089	5.153
Aug-97	5.185	5.189	5.134	5.190	5.113	5.167
Sep-97	5.020	5.222	5.170	5.177	5.126	5.174
Oct-97	5.173	5.100	5.012	4.991	4.955	5.006
Nov-97	5.257	5.174	5.027	5.079	5.034	5.098
Dec-97	5.307	5.302	5.163	5.165	5.139	5.195
Jan-98	5.158	5.351	5.223	5.225	5.197	5.248
Feb-98	5.274	5.128	5.007	5.107	5.048	5.097
Mar-98	5.134	5.287	5.156	5.193	5.155	5.209
Apr-98	4.946	5.112	5.100	5.159	5.061	5.120
May-98	4.997	4.949	4.867	4.932	4.889	4.944
Jun-98	5.012	5.036	4.873	4.903	4.930	4.979
Jul-98	5.049	4.985	4.962	5.026	4.943	5.005
Aug-98	4.846	4.928	4.801	4.960	4.885	4.957
Sep-98	4.302	4.789	4.688	4.802	4.720	4.778
Oct-98	4.323	4.307	4.167	4.242	4.207	4.263
Nov-98	4.490	4.274	4.082	4.213	4.154	4.209
Dec-98	4.435	4.513	4.441	4.478	4.436	4.482
Jan-99	4.437	4.441	4.373	4.411	4.364	4.419
Feb-99	4.642	4.439	4.354	4.399	4.318	4.380
Mar-99	4.453	4.686	4.604	4.581	4.545	4.611
Apr-99	4.518	4.402	4.414	4.492	4.368	4.426
May-99	4.620	4.532	4.490	4.501	4.451	4.509
Jun-99	4.734	4.593	4.529	4.555	4.529	4.581
Jul-99	4.713	4.724	4.654	4.668	4.654	4.713
Aug-99	4.906	4.817	4.734	4.634	4.678	4.711
Sep-99	4.807	4.967	4.862	4.806	4.853	4.902
Oct-99	5.045	4.750	4.663	4.736	4.692	4.751
Nov-99	5.249	5.058	4.841	4.835	4.920	4.972
Dec-99	5.327	5.229	5.143	5.173	5.193	5.235
Jan-00	5.663	5.364	5.378	5.359	5.355	5.388
Feb-00	5.735	5.730	5.689	5.601	5.646	5.730
Mar-00	5.827	5.758	5.733	5.683	5.723	5.758
Apr-00	5.800	5.825	5.897	5.845	5.844	5.825
May-00	5.575	5.812	5.751	5.672	5.758	5.807
Jun-00	5.839	5.586	5.379	5.333	5.513	5.586
Jul-00	6.194	5.812	5.814	5.788	5.828	5.869
Aug-00	6.256	6.205	6.197	6.130	6.146	6.205
Sep-00	6.166	6.148	6.099	6.159	6.138	6.195
Oct-00	6.308	6.142	6.039	6.044	6.073	6.142
Nov-00	6.162	6.330	6.250	6.206	6.241	6.281
Dec-00	5.849	6.146	6.065	6.063	6.073	6.116
Jan-01	4.966	5.741	5.611	5.702	5.676	5.741
Feb-01	4.833	4.882	4.760	4.850	4.791	4.882
Mar-01	4.266	4.785	4.771	4.831	4.734	4.785
Apr-01	3.853	4.285	4.297	4.301	4.201	4.235
May-01	3.605	3.820	3.818	3.895	3.813	3.843
Jun-01	3.628	3.604	3.567	3.591	3.521	3.562
Jul-01	3.521	3.609	3.570	3.632	3.543	3.569
Aug-01	3.335	3.455	3.475	3.612	3.425	3.466
Sep-01	2.349	3.373	3.359	3.404	3.277	3.305
Oct-01	2.027	2.407	2.434	2.517	2.340	2.356
Nov-01	1.782	2.026	2.003	2.159	1.998	2.011
Dec-01	1.698	1.710	1.718	1.906	1.702	1.744
Jan-02	1.759	1.577	1.614	1.816	1.593	1.648
Feb-02	1.757	1.688	1.739	1.908	1.691	1.746
Mar-02	1.785	1.710	1.742	1.909	1.684	1.740
Apr-02	1.749	1.829	1.933	1.988	1.846	1.895
May-02	1.722	1.747	1.800	1.904	1.729	1.774
Jun-02	1.689	1.656	1.714	1.905	1.696	1.741
Jul-02	1.693	1.603	1.603	1.829	1.604	1.646
Aug-02	1.667	1.670	1.641	1.873	1.654	1.662
Sep-02	1.543	1.586	1.555	1.840	1.598	1.619
Oct-02	1.436	1.421	1.378	1.714	1.459	1.479
Nov-02	1.219	1.381	1.347	1.624	1.394	1.395
Dec-02	1.187	1.200	1.245	1.434	1.213	1.225
Jan-03	1.169	1.181	1.161	1.375	1.184	1.176
Feb-03	1.205	1.266	1.258	1.368	1.247	1.218
Mar-03	1.104	1.307	1.289	1.395	1.273	1.247
Apr-03	1.111	1.086	1.108	1.323	1.147	1.126
May-03	1.110	1.071	1.080	1.316	1.167	1.140
Jun-03	0.876	1.011	1.005	1.320	1.113	1.102
Jul-03	0.940	0.978	0.965	1.087	0.971	0.946
Aug-03	0.988	1.066	1.105	1.192	1.053	1.021
Sep-03	0.928	1.084	1.128	1.213	1.080	1.058
Oct-03	0.937	1.006	0.992	1.138	1.002	0.972
Nov-03	0.926	1.085	1.116	1.164	1.065	1.038
Dec-03	0.928	1.022	1.076	1.155	1.025	1.017

Figure 12b. Observed and Predicted Yields, 1-Month Forecast Horizon: 2-Year Yield

Data for Figure 12b

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	4.079	4.199	4.145	4.383	4.165	4.203
Feb-94	4.639	4.106	4.059	4.274	4.042	4.093
Mar-94	5.170	4.622	4.561	4.813	4.570	4.631
Apr-94	5.680	5.213	5.152	5.315	5.126	5.206
May-94	5.928	5.787	5.661	5.755	5.602	5.735
Jun-94	6.087	5.898	5.727	5.983	5.780	5.935
Jul-94	5.907	6.088	5.899	6.103	5.935	6.103
Aug-94	6.086	5.905	5.753	5.969	5.791	5.923
Sep-94	6.497	6.078	5.904	6.101	5.954	6.099
Oct-94	6.732	6.533	6.382	6.501	6.416	6.522
Nov-94	7.263	6.758	6.599	6.719	6.639	6.752
Dec-94	7.503	7.245	6.999	7.193	7.081	7.265
Jan-95	7.126	7.487	7.138	7.383	7.248	7.503
Feb-95	6.668	7.066	6.848	7.077	6.962	7.114
Mar-95	6.672	6.655	6.507	6.666	6.548	6.675
Apr-95	6.469	6.648	6.504	6.669	6.548	6.676
May-95	5.780	6.398	6.281	6.509	6.362	6.458
Jun-95	5.708	5.771	5.721	5.895	5.726	5.794
Jul-95	5.792	5.701	5.599	5.803	5.634	5.723
Aug-95	5.756	5.794	5.738	5.898	5.733	5.810
Sep-95	5.725	5.776	5.673	5.836	5.681	5.780
Oct-95	5.533	5.748	5.634	5.806	5.644	5.750
Nov-95	5.273	5.526	5.445	5.650	5.462	5.549
Dec-95	5.088	5.215	5.169	5.432	5.210	5.273
Jan-96	4.870	5.051	4.946	5.224	5.010	5.096
Feb-96	5.363	4.900	4.902	5.072	4.870	4.885
Mar-96	5.691	5.349	5.241	5.463	5.282	5.356
Apr-96	5.940	5.711	5.582	5.758	5.602	5.715
May-96	6.161	5.916	5.757	5.976	5.807	5.947
Jun-96	6.013	6.212	6.027	6.151	6.040	6.192
Jul-96	6.117	6.056	5.909	6.042	5.908	6.043
Aug-96	6.231	6.106	5.972	6.148	6.011	6.127
Sep-96	6.008	6.211	6.069	6.254	6.114	6.237
Oct-96	5.668	5.965	5.821	6.031	5.885	6.008
Nov-96	5.508	5.646	5.553	5.739	5.586	5.677
Dec-96	5.790	5.513	5.401	5.576	5.439	5.527
Jan-97	5.839	5.838	5.724	5.832	5.718	5.822
Feb-97	6.008	5.836	5.705	5.868	5.745	5.853
Mar-97	6.335	6.020	5.855	5.987	5.887	6.026
Apr-97	6.193	6.329	6.167	6.307	6.206	6.345
May-97	6.117	6.169	6.008	6.175	6.057	6.198
Jun-97	5.991	6.039	5.874	6.093	5.952	6.103
Jul-97	5.660	5.970	5.813	5.984	5.866	5.998
Aug-97	5.874	5.635	5.494	5.671	5.538	5.648
Sep-97	5.712	5.887	5.765	5.901	5.793	5.893
Oct-97	5.567	5.755	5.620	5.723	5.618	5.734
Nov-97	5.711	5.560	5.397	5.579	5.456	5.581
Dec-97	5.578	5.735	5.555	5.696	5.602	5.735
Jan-98	5.263	5.600	5.463	5.582	5.480	5.602
Feb-98	5.469	5.231	5.116	5.316	5.173	5.247
Mar-98	5.503	5.465	5.326	5.479	5.366	5.484
Apr-98	5.509	5.472	5.322	5.507	5.387	5.509
May-98	5.465	5.499	5.321	5.500	5.397	5.522
Jun-98	5.404	5.485	5.328	5.465	5.373	5.488
Jul-98	5.418	5.375	5.236	5.413	5.287	5.411
Aug-98	4.814	5.320	5.186	5.423	5.277	5.368
Sep-98	4.277	4.773	4.742	4.931	4.767	4.793
Oct-98	4.167	4.279	4.238	4.399	4.241	4.279
Nov-98	4.478	4.127	4.178	4.372	4.175	4.127
Dec-98	4.519	4.491	4.452	4.597	4.449	4.485
Jan-99	4.531	4.519	4.440	4.606	4.459	4.519
Feb-99	5.097	4.532	4.392	4.585	4.443	4.531
Mar-99	4.938	5.124	4.986	5.113	5.006	5.111
Apr-99	5.011	4.894	4.774	4.983	4.844	4.916
May-99	5.354	5.014	4.896	5.036	4.927	5.012
Jun-99	5.456	5.328	5.175	5.344	5.240	5.341
Jul-99	5.559	5.445	5.307	5.442	5.352	5.450
Aug-99	5.650	5.625	5.492	5.536	5.486	5.592
Sep-99	5.550	5.685	5.607	5.669	5.594	5.668
Oct-99	5.723	5.500	5.394	5.573	5.454	5.525
Nov-99	5.931	5.729	5.623	5.726	5.667	5.726
Dec-99	6.148	5.912	5.794	5.915	5.859	5.921
Jan-00	6.506	6.166	6.055	6.138	6.094	6.157
Feb-00	6.441	6.545	6.371	6.423	6.424	6.526
Mar-00	6.390	6.449	6.297	6.369	6.366	6.453
Apr-00	6.567	6.382	6.193	6.272	6.285	6.386
May-00	6.597	6.572	6.351	6.414	6.450	6.577
Jun-00	6.280	6.582	6.329	6.432	6.465	6.600
Jul-00	6.204	6.249	6.145	6.227	6.199	6.264
Aug-00	6.087	6.213	6.205	6.228	6.197	6.218
Sep-00	5.885	6.013	5.947	6.078	6.024	6.049
Oct-00	5.824	5.871	5.906	5.977	5.902	5.878
Nov-00	5.548	5.856	5.928	5.952	5.878	5.840
Dec-00	5.051	5.553	5.608	5.676	5.587	5.551
Jan-01	4.567	4.993	5.097	5.238	5.101	5.022
Feb-01	4.386	4.518	4.630	4.774	4.620	4.542
Mar-01	4.186	4.370	4.487	4.613	4.459	4.370
Apr-01	4.278	4.213	4.305	4.395	4.261	4.213
May-01	4.213	4.255	4.351	4.492	4.327	4.255
Jun-01	4.233	4.214	4.272	4.397	4.244	4.214
Jul-01	3.774	4.225	4.306	4.455	4.269	4.225
Aug-01	3.609	3.742	3.868	4.064	3.849	3.742
Sep-01	2.822	3.651	3.774	3.893	3.697	3.651
Oct-01	2.370	2.881	3.107	3.217	2.984	2.852
Nov-01	2.840	2.394	2.577	2.769	2.513	2.382
Dec-01	3.066	2.794	2.834	3.117	2.875	2.817
Jan-02	3.153	2.996	3.002	3.287	3.047	3.030
Feb-02	3.044	3.116	3.102	3.360	3.131	3.134
Mar-02	3.674	3.029	2.997	3.247	3.010	3.036
Apr-02	3.216	3.718	3.614	3.814	3.641	3.696
May-02	3.187	3.237	3.190	3.402	3.188	3.227
Jun-02	2.875	3.162	3.066	3.345	3.155	3.175
Jul-02	2.223	2.839	2.798	3.067	2.872	2.857
Aug-02	2.109	2.233	2.432	2.601	2.359	2.228
Sep-02	1.681	2.076	2.205	2.443	2.222	2.092
Oct-02	1.665	1.615	1.730	2.030	1.770	1.648
Nov-02	2.039	1.643	1.842	2.058	1.830	1.654
Dec-02	1.582	2.038	2.178	2.373	2.165	2.038
Jan-03	1.691	1.596	1.766	1.939	1.731	1.589
Feb-03	1.510	1.781	1.978	2.056	1.891	1.736
Mar-03	1.486	1.603	1.795	1.862	1.717	1.557
Apr-03	1.477	1.491	1.702	1.856	1.673	1.489
May-03	1.317	1.465	1.696	1.859	1.649	1.471
Jun-03	1.299	1.265	1.377	1.629	1.421	1.291
Jul-03	1.738	1.392	1.541	1.627	1.464	1.346
Aug-03	1.961	1.843	2.077	2.112	1.944	1.791
Sep-03	1.462	2.040	2.186	2.257	2.096	2.001
Oct-03	1.821	1.539	1.711	1.798	1.638	1.501
Nov-03	2.034	1.942	2.077	2.122	1.992	1.882
Dec-03	1.839	2.110	2.176	2.280	2.149	2.073

Figure 12c. Observed and Predicted Yields, 1-Month Forecast Horizon: 5-Year Yield

Data for Figure 12c

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.018	5.187	5.200	5.425	5.212	5.198
Feb-94	5.587	5.015	5.057	5.265	5.062	4.999
Mar-94	6.206	5.553	5.549	5.787	5.581	5.568
Apr-94	6.592	6.214	6.199	6.378	6.208	6.187
May-94	6.723	6.645	6.552	6.690	6.550	6.566
Jun-94	6.921	6.683	6.576	6.822	6.655	6.664
Jul-94	6.672	6.905	6.769	6.991	6.829	6.875
Aug-94	6.754	6.654	6.559	6.784	6.626	6.648
Sep-94	7.218	6.735	6.652	6.862	6.704	6.735
Oct-94	7.412	7.231	7.107	7.281	7.163	7.187
Nov-94	7.673	7.419	7.289	7.469	7.352	7.381
Dec-94	7.674	7.651	7.452	7.660	7.550	7.630
Jan-95	7.419	7.652	7.424	7.660	7.523	7.631
Feb-95	6.961	7.366	7.193	7.424	7.298	7.379
Mar-95	6.973	6.942	6.841	7.034	6.907	6.961
Apr-95	6.767	6.946	6.850	7.044	6.910	6.970
May-95	5.993	6.705	6.661	6.882	6.717	6.768
Jun-95	5.894	5.973	5.998	6.167	6.007	6.020
Jul-95	6.076	5.875	5.919	6.093	5.926	5.924
Aug-95	5.985	6.063	6.131	6.294	6.118	6.118
Sep-95	5.912	5.989	6.005	6.160	6.028	6.012
Oct-95	5.726	5.914	5.921	6.074	5.912	5.929
Nov-95	5.456	5.707	5.719	5.901	5.725	5.745
Dec-95	5.307	5.403	5.434	5.649	5.465	5.474
Jan-96	5.190	5.269	5.243	5.456	5.292	5.310
Feb-96	5.667	5.194	5.272	5.421	5.256	5.192
Mar-96	6.043	5.656	5.732	5.904	5.724	5.710
Apr-96	6.320	6.049	6.040	6.190	6.047	6.050
May-96	6.562	6.296	6.266	6.460	6.304	6.309
Jun-96	6.379	6.593	6.515	6.644	6.529	6.547
Jul-96	6.493	6.402	6.357	6.499	6.368	6.376
Aug-96	6.636	6.479	6.399	6.577	6.447	6.466
Sep-96	6.386	6.612	6.546	6.729	6.593	6.607
Oct-96	6.007	6.347	6.288	6.493	6.351	6.359
Nov-96	5.756	5.982	5.959	6.144	6.014	6.006
Dec-96	6.143	5.748	5.724	5.886	5.764	5.758
Jan-97	6.182	6.168	6.095	6.228	6.131	6.126
Feb-97	6.318	6.174	6.116	6.286	6.171	6.167
Mar-97	6.674	6.318	6.217	6.375	6.270	6.284
Apr-97	6.492	6.660	6.565	6.730	6.625	6.635
May-97	6.412	6.462	6.371	6.561	6.440	6.450
Jun-97	6.308	6.343	6.245	6.483	6.336	6.356
Jul-97	5.832	6.277	6.178	6.360	6.227	6.256
Aug-97	6.130	5.800	5.738	5.920	5.802	5.804
Sep-97	5.911	6.127	6.067	6.220	6.089	6.107
Oct-97	5.633	5.928	5.867	6.003	5.882	5.895
Nov-97	5.759	5.618	5.605	5.780	5.643	5.645
Dec-97	5.632	5.767	5.684	5.832	5.727	5.737
Jan-98	5.310	5.633	5.554	5.696	5.586	5.601
Feb-98	5.512	5.269	5.266	5.444	5.302	5.315
Mar-98	5.544	5.490	5.434	5.585	5.464	5.481
Apr-98	5.562	5.505	5.467	5.638	5.504	5.521
May-98	5.485	5.540	5.482	5.641	5.524	5.537
Jun-98	5.385	5.487	5.422	5.558	5.450	5.470
Jul-98	5.467	5.353	5.296	5.471	5.338	5.357
Aug-98	4.865	5.387	5.275	5.502	5.364	5.389
Sep-98	4.347	4.826	4.832	5.009	4.863	4.878
Oct-98	4.480	4.335	4.253	4.420	4.299	4.313
Nov-98	4.562	4.432	4.364	4.553	4.426	4.442
Dec-98	4.591	4.555	4.571	4.697	4.556	4.581
Jan-99	4.527	4.575	4.550	4.682	4.556	4.581
Feb-99	5.206	4.515	4.532	4.666	4.543	4.544
Mar-99	5.169	5.217	5.179	5.302	5.180	5.195
Apr-99	5.266	5.127	5.086	5.262	5.128	5.139
May-99	5.640	5.256	5.177	5.312	5.207	5.215
Jun-99	5.759	5.617	5.478	5.637	5.551	5.561
Jul-99	5.922	5.747	5.606	5.747	5.676	5.687
Aug-99	5.968	5.958	5.819	5.893	5.851	5.853
Sep-99	5.879	5.983	5.874	5.975	5.911	5.915
Oct-99	6.045	5.835	5.711	5.879	5.813	5.818
Nov-99	6.143	6.045	5.875	5.996	5.945	5.955
Dec-99	6.390	6.127	6.003	6.134	6.069	6.082
Jan-00	6.660	6.399	6.273	6.374	6.325	6.338
Feb-00	6.569	6.686	6.506	6.585	6.568	6.582
Mar-00	6.253	6.572	6.383	6.472	6.469	6.578
Apr-00	6.456	6.250	6.097	6.187	6.180	6.189
May-00	6.453	6.468	6.240	6.332	6.341	6.361
Jun-00	6.158	6.440	6.224	6.345	6.337	6.457
Jul-00	6.134	6.131	6.022	6.122	6.101	6.114
Aug-00	5.932	6.143	6.031	6.097	6.092	6.096
Sep-00	5.797	5.879	5.773	5.892	5.869	5.893
Oct-00	5.706	5.783	5.795	5.864	5.814	5.833
Nov-00	5.389	5.732	5.771	5.805	5.752	5.772
Dec-00	4.989	5.396	5.446	5.507	5.439	5.448
Jan-01	4.847	4.951	5.031	5.155	5.052	4.970
Feb-01	4.699	4.812	4.865	5.013	4.894	4.830
Mar-01	4.620	4.693	4.733	4.848	4.752	4.696
Apr-01	4.938	4.643	4.697	4.794	4.696	4.632
May-01	4.977	4.917	4.965	5.114	4.977	4.928
Jun-01	5.067	4.975	4.995	5.130	5.003	4.976
Jul-01	4.671	5.064	5.025	5.170	5.053	5.065
Aug-01	4.497	4.650	4.655	4.798	4.685	4.660
Sep-01	4.055	4.524	4.529	4.610	4.513	4.510
Oct-01	3.675	4.095	4.130	4.226	4.108	4.075
Nov-01	4.103	3.690	3.745	3.850	3.712	3.683
Dec-01	4.447	4.061	4.170	4.346	4.170	4.082
Jan-02	4.519	4.393	4.425	4.626	4.454	4.420
Feb-02	4.358	4.490	4.458	4.626	4.486	4.504
Mar-02	5.003	4.343	4.328	4.472	4.337	4.350
Apr-02	4.584	5.030	4.932	5.040	4.938	5.017
May-02	4.414	4.598	4.555	4.671	4.562	4.546
Jun-02	4.149	4.399	4.422	4.579	4.436	4.406
Jul-02	3.636	4.120	4.185	4.342	4.202	4.135
Aug-02	3.284	3.633	3.811	3.915	3.766	3.634
Sep-02	2.673	3.252	3.438	3.587	3.429	3.268
Oct-02	2.876	2.614	2.889	3.065	2.861	2.644
Nov-02	3.319	2.846	3.117	3.271	3.078	2.861
Dec-02	2.809	3.309	3.464	3.635	3.459	3.314
Jan-03	3.044	2.809	3.028	3.170	2.999	2.809
Feb-03	2.726	3.096	3.260	3.336	3.210	3.070
Mar-03	2.825	2.781	2.975	3.045	2.921	2.753
Apr-03	2.887	2.821	2.984	3.133	2.996	2.823
May-03	2.351	2.870	3.000	3.156	3.013	2.879
Jun-03	2.501	2.300	2.538	2.703	2.525	2.325
Jul-03	3.362	2.553	2.771	2.824	2.684	2.527
Aug-03	3.513	3.423	3.585	3.643	3.519	3.392
Sep-03	2.880	3.557	3.651	3.739	3.624	3.535
Oct-03	3.296	2.921	3.106	3.175	3.064	2.888
Nov-03	3.387	3.368	3.510	3.556	3.451	3.296
Dec-03	3.264	3.425	3.529	3.632	3.514	3.406

Figure 12d. Observed and Predicted Yields, 1-Month Forecast Horizon: 10-Year Yield

Notes: The figure shows the observed yields for different maturities (the black solid lines), together with the 1-month forecast from selected models. The dotted lines show forecasts from three individual models: the (Vector) Autoregressive Model with macro factors, and the two-step Nelson-Siegel model (without macro factors). The solid lines are for two forecast combination (FC) schemes: combining models with macro factors using performance based MSPE-weights, and combining model forecasts with MSPE-based weights using only the forecasts from models which are in the Model Confidence Set $$\widehat{M}_{0.25}^{\ast}$$. Forecasts and observed yields are shown for the out-of-sample period 1994:1 - 2003:12. The forecast are constructed using an expanding estimation window. The out-of-sample period 1989:1 - 1993:12 is used to determine the initial FC weights, and after that an expanding sample is used to compute combination weights.

Data for Figure 12d

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.850	6.009	5.926	6.071	5.952	5.993
Feb-94	6.201	5.838	5.756	5.865	5.778	5.794
Mar-94	6.873	6.161	6.179	6.329	6.184	6.216
Apr-94	7.148	6.872	6.798	6.920	6.807	6.842
May-94	7.234	7.188	7.016	7.093	7.054	7.090
Jun-94	7.454	7.193	7.011	7.151	7.085	7.150
Jul-94	7.281	7.435	7.215	7.328	7.290	7.370
Aug-94	7.263	7.259	7.051	7.121	7.095	7.187
Sep-94	7.678	7.240	7.131	7.192	7.138	7.209
Oct-94	7.855	7.684	7.532	7.574	7.550	7.612
Nov-94	7.856	7.857	7.707	7.730	7.717	7.803
Dec-94	7.742	7.832	7.654	7.679	7.695	7.855
Jan-95	7.560	7.716	7.450	7.450	7.503	7.741
Feb-95	7.133	7.506	7.417	7.426	7.417	7.526
Mar-95	7.199	7.108	7.165	7.140	7.084	7.151
Apr-95	7.104	7.167	7.212	7.177	7.128	7.196
May-95	6.329	7.039	7.037	7.048	7.021	7.076
Jun-95	6.281	6.299	6.387	6.367	6.304	6.364
Jul-95	6.544	6.252	6.284	6.270	6.215	6.294
Aug-95	6.318	6.521	6.558	6.553	6.483	6.546
Sep-95	6.202	6.312	6.372	6.348	6.303	6.350
Oct-95	6.043	6.192	6.229	6.213	6.157	6.232
Nov-95	5.718	6.016	6.034	6.047	5.982	6.068
Dec-95	5.564	5.659	5.817	5.842	5.727	5.765
Jan-96	5.605	5.521	5.525	5.586	5.519	5.564
Feb-96	6.108	5.595	5.694	5.714	5.620	5.600
Mar-96	6.323	6.093	6.169	6.192	6.115	6.127
Apr-96	6.634	6.322	6.402	6.426	6.327	6.360
May-96	6.787	6.607	6.627	6.660	6.588	6.649
Jun-96	6.674	6.811	6.838	6.831	6.763	6.819
Jul-96	6.749	6.690	6.671	6.665	6.621	6.684
Aug-96	6.902	6.734	6.703	6.731	6.672	6.748
Sep-96	6.678	6.876	6.878	6.901	6.839	6.904
Oct-96	6.302	6.638	6.633	6.673	6.609	6.679
Nov-96	6.014	6.274	6.311	6.345	6.294	6.332
Dec-96	6.387	6.000	6.014	6.038	5.978	6.037
Jan-97	6.480	6.404	6.405	6.389	6.350	6.400
Feb-97	6.488	6.469	6.476	6.467	6.416	6.484
Mar-97	6.827	6.484	6.525	6.514	6.464	6.507
Apr-97	6.651	6.810	6.854	6.855	6.801	6.850
May-97	6.593	6.618	6.642	6.662	6.606	6.661
Jun-97	6.429	6.525	6.500	6.573	6.504	6.589
Jul-97	5.962	6.394	6.457	6.483	6.394	6.452
Aug-97	6.252	5.926	5.985	6.016	5.940	5.990
Sep-97	6.035	6.244	6.303	6.315	6.240	6.287
Oct-97	5.770	6.043	6.058	6.060	6.006	6.069
Nov-97	5.808	5.750	5.840	5.827	5.760	5.776
Dec-97	5.683	5.810	5.855	5.812	5.797	5.809
Jan-98	5.491	5.676	5.728	5.704	5.646	5.680
Feb-98	5.540	5.445	5.484	5.503	5.461	5.468
Mar-98	5.574	5.511	5.584	5.605	5.528	5.526
Apr-98	5.602	5.532	5.645	5.663	5.584	5.553
May-98	5.461	5.578	5.579	5.616	5.584	5.590
Jun-98	5.346	5.458	5.463	5.492	5.449	5.460
Jul-98	5.419	5.312	5.403	5.420	5.358	5.329
Aug-98	5.047	5.342	5.371	5.450	5.378	5.381
Sep-98	4.443	5.005	4.996	5.044	4.986	5.026
Oct-98	4.668	4.422	4.382	4.398	4.370	4.432
Nov-98	4.664	4.612	4.608	4.673	4.609	4.640
Dec-98	4.599	4.648	4.714	4.755	4.688	4.656
Jan-99	4.624	4.576	4.651	4.699	4.626	4.587
Feb-99	5.253	4.607	4.669	4.690	4.640	4.616
Mar-99	5.231	5.260	5.334	5.330	5.270	5.257
Apr-99	5.361	5.190	5.344	5.382	5.277	5.210
May-99	5.512	5.349	5.381	5.419	5.354	5.355
Jun-99	5.711	5.493	5.650	5.690	5.598	5.502
Jul-99	5.831	5.703	5.754	5.815	5.744	5.707
Aug-99	5.863	5.864	5.952	5.975	5.912	5.848
Sep-99	5.792	5.877	5.980	6.019	5.940	5.969
Oct-99	5.952	5.753	5.866	5.932	5.854	5.772
Nov-99	6.141	5.955	5.957	6.001	5.966	5.963
Dec-99	6.387	6.128	6.100	6.132	6.112	6.134
Jan-00	6.557	6.395	6.395	6.379	6.374	6.398
Feb-00	6.236	6.582	6.575	6.511	6.532	6.574
Mar-00	6.047	6.241	6.421	6.382	6.342	6.359
Apr-00	6.039	6.044	6.038	5.996	6.027	6.056
May-00	6.116	6.054	6.118	6.060	6.071	6.054
Jun-00	5.904	6.103	5.984	5.974	6.043	6.121
Jul-00	5.913	5.875	5.910	5.911	5.903	5.904
Aug-00	5.573	5.919	6.007	5.951	5.943	5.925
Sep-00	5.703	5.522	5.757	5.745	5.686	5.548
Oct-00	5.667	5.684	5.759	5.779	5.748	5.694
Nov-00	5.410	5.686	5.780	5.739	5.724	5.684
Dec-00	5.097	5.409	5.503	5.457	5.436	5.409
Jan-01	5.162	5.056	5.198	5.204	5.147	5.077
Feb-01	4.859	5.122	5.222	5.249	5.173	5.142
Mar-01	4.919	4.848	5.121	5.118	5.007	4.854
Apr-01	5.372	4.932	5.128	5.130	5.022	4.925
May-01	5.436	5.344	5.414	5.517	5.406	5.358
Jun-01	5.477	5.425	5.473	5.577	5.475	5.430
Jul-01	5.166	5.469	5.494	5.594	5.498	5.473
Aug-01	4.844	5.143	5.212	5.341	5.216	5.155
Sep-01	4.682	4.862	4.995	5.126	4.980	4.853
Oct-01	4.367	4.713	4.826	4.950	4.793	4.697
Nov-01	4.911	4.380	4.480	4.662	4.484	4.373
Dec-01	5.206	4.871	4.854	5.131	4.958	4.891
Jan-02	5.205	5.160	5.150	5.440	5.261	5.183
Feb-02	4.930	5.181	5.093	5.381	5.228	5.193
Mar-02	5.460	4.920	4.948	5.220	5.047	4.925
Apr-02	5.193	5.488	5.424	5.658	5.543	5.474
May-02	5.187	5.213	5.184	5.416	5.280	5.203
Jun-02	4.993	5.184	5.083	5.308	5.198	5.186
Jul-02	4.716	4.976	4.925	5.161	5.022	4.984
Aug-02	4.234	4.716	4.683	4.905	4.763	4.716
Sep-02	3.751	4.210	4.257	4.458	4.296	4.222
Oct-02	4.100	3.704	3.737	3.915	3.773	3.727
Nov-02	4.305	4.074	4.098	4.249	4.105	4.087
Dec-02	3.976	4.296	4.394	4.524	4.367	4.301
Jan-03	4.137	3.976	4.014	4.130	4.006	3.976
Feb-03	3.805	4.178	4.223	4.306	4.199	4.158
Mar-03	3.948	3.848	3.929	3.987	3.876	3.826
Apr-03	4.013	3.943	4.058	4.143	4.019	3.945
May-03	3.483	3.995	4.074	4.181	4.075	4.004
Jun-03	3.662	3.430	3.460	3.590	3.489	3.457
Jul-03	4.590	3.697	3.677	3.761	3.679	3.680
Aug-03	4.592	4.633	4.684	4.778	4.656	4.612
Sep-03	4.122	4.625	4.692	4.797	4.685	4.609
Oct-03	4.492	4.153	4.143	4.241	4.170	4.137
Nov-03	4.458	4.547	4.519	4.595	4.530	4.520
Dec-03	4.420	4.485	4.459	4.550	4.474	4.472

Figure 13a. Observed and Predicted Yields, 3-Month Forecast Horizon: 3-Month Yield

Data for Figure 13a

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	3.016	3.138	3.106	3.491	#N/A	#N/A
Feb-94	3.431	3.163	3.246	3.678	#N/A	#N/A
Mar-94	3.536	3.054	3.170	3.599	3.114	3.109
Apr-94	3.945	3.112	3.089	3.467	3.023	2.995
May-94	4.270	3.439	3.470	3.830	3.427	3.423
Jun-94	4.223	3.832	3.764	4.042	3.742	3.752
Jul-94	4.353	4.276	4.099	4.338	4.091	4.100
Aug-94	4.644	4.220	4.275	4.570	4.269	4.259
Sep-94	4.776	4.285	4.289	4.571	4.299	4.294
Oct-94	5.138	4.351	4.385	4.665	4.362	4.326
Nov-94	5.665	4.660	4.701	4.931	4.657	4.656
Dec-94	5.662	4.922	4.931	5.120	4.901	4.887
Jan-95	5.932	5.204	5.117	5.303	5.146	5.139
Feb-95	5.868	5.666	5.655	5.723	5.602	5.720
Mar-95	5.823	5.654	5.582	5.628	5.541	5.667
Apr-95	5.809	5.757	5.843	5.916	5.711	5.816
May-95	5.742	5.830	5.765	5.846	5.650	5.747
Jun-95	5.551	5.714	5.841	5.930	5.649	5.740
Jul-95	5.527	5.664	5.806	5.901	5.599	5.704
Aug-95	5.398	5.739	5.670	5.747	5.485	5.609
Sep-95	5.353	5.578	5.435	5.512	5.298	5.440
Oct-95	5.421	5.512	5.476	5.590	5.271	5.386
Nov-95	5.424	5.498	5.393	5.476	5.223	5.498
Dec-95	5.059	5.411	5.368	5.436	5.148	5.279
Jan-96	5.000	5.380	5.259	5.362	5.099	5.238
Feb-96	4.982	5.168	5.284	5.429	5.042	5.172
Mar-96	5.099	5.060	4.826	4.934	4.728	4.893
Apr-96	5.100	4.999	4.898	5.051	4.717	4.844
May-96	5.138	4.955	4.960	5.131	4.793	4.836
Jun-96	5.144	5.097	5.139	5.257	4.923	5.039
Jul-96	5.279	5.020	5.005	5.166	4.873	4.981
Aug-96	5.249	5.297	5.170	5.259	5.026	5.157
Sep-96	5.057	5.177	5.058	5.183	4.972	5.099
Oct-96	5.116	5.233	5.208	5.331	5.106	5.235
Nov-96	5.098	5.176	5.238	5.361	5.097	5.219
Dec-96	5.120	4.924	5.066	5.214	4.915	5.042
Jan-97	5.125	5.063	5.055	5.183	4.930	5.055
Feb-97	5.196	5.149	5.046	5.119	4.941	5.082
Mar-97	5.286	5.197	5.058	5.142	4.992	5.110
Apr-97	5.256	5.088	5.074	5.190	4.976	5.085
May-97	5.140	5.219	5.169	5.236	5.078	5.191
Jun-97	5.194	5.324	5.335	5.393	5.230	5.339
Jul-97	5.203	5.160	5.195	5.285	5.086	5.210
Aug-97	5.185	5.013	5.045	5.147	4.954	5.096
Sep-97	5.020	5.200	5.152	5.212	4.996	5.133
Oct-97	5.173	5.136	5.140	5.191	4.977	5.136
Nov-97	5.257	5.320	5.165	5.195	5.052	5.195
Dec-97	5.307	5.105	4.958	4.996	4.845	4.999
Jan-98	5.158	5.124	5.011	5.061	4.902	5.054
Feb-98	5.274	5.331	5.127	5.120	5.032	5.185
Mar-98	5.134	5.341	5.187	5.177	5.071	5.222
Apr-98	4.946	5.149	5.051	5.070	4.947	5.091
May-98	4.997	5.291	5.168	5.144	5.030	5.188
Jun-98	5.012	5.100	5.123	5.118	4.942	5.101
Jul-98	5.049	5.005	4.898	4.888	4.803	4.966
Aug-98	4.846	5.054	4.864	4.841	4.824	4.989
Sep-98	4.302	4.837	4.950	4.955	4.773	4.943
Oct-98	4.323	4.784	4.860	4.895	4.734	4.905
Nov-98	4.490	4.700	4.720	4.749	4.575	4.730
Dec-98	4.435	4.266	4.164	4.163	4.062	4.266
Jan-99	4.437	4.257	4.134	4.201	4.038	4.257
Feb-99	4.642	4.607	4.472	4.434	4.344	4.607
Mar-99	4.453	4.440	4.395	4.355	4.236	4.440
Apr-99	4.518	4.478	4.379	4.345	4.203	4.478
May-99	4.620	4.618	4.551	4.559	4.420	4.618
Jun-99	4.734	4.358	4.446	4.507	4.275	4.358
Jul-99	4.713	4.526	4.489	4.514	4.372	4.526
Aug-99	4.906	4.478	4.527	4.564	4.435	4.478
Sep-99	4.807	4.782	4.678	4.680	4.623	4.782
Oct-99	5.045	4.963	4.703	4.662	4.684	4.963
Nov-99	5.249	4.929	4.816	4.813	4.798	4.929
Dec-99	5.327	4.711	4.707	4.745	4.651	4.711
Jan-00	5.663	5.010	4.827	4.826	4.877	5.010
Feb-00	5.735	5.183	5.145	5.146	5.144	5.183
Mar-00	5.827	5.380	5.348	5.335	5.321	5.380
Apr-00	5.800	5.744	5.628	5.543	5.613	5.744
May-00	5.575	5.767	5.714	5.609	5.696	5.767
Jun-00	5.839	5.729	5.875	5.709	5.763	5.729
Jul-00	6.194	5.807	5.727	5.527	5.727	5.807
Aug-00	6.256	5.609	5.389	5.179	5.491	5.609
Sep-00	6.166	5.793	5.845	5.646	5.772	5.793
Oct-00	6.308	6.082	6.150	5.989	6.026	6.082
Nov-00	6.162	6.107	6.162	6.007	6.046	6.107
Dec-00	5.849	6.100	6.066	5.920	5.967	6.100
Jan-01	4.966	6.364	6.229	6.077	6.146	6.364
Feb-01	4.833	5.978	6.025	5.934	5.911	5.978
Mar-01	4.266	5.574	5.642	5.611	5.526	5.574
Apr-01	3.853	4.729	4.790	4.870	4.681	4.744
May-01	3.605	4.732	4.792	4.854	4.643	4.732
Jun-01	3.628	4.318	4.300	4.380	4.155	4.318
Jul-01	3.521	3.867	3.890	4.045	3.803	3.864
Aug-01	3.335	3.626	3.610	3.779	3.509	3.579
Sep-01	2.349	3.544	3.586	3.811	3.494	3.570
Oct-01	2.027	3.491	3.562	3.810	3.392	3.462
Nov-01	1.782	3.466	3.390	3.595	3.243	3.325
Dec-01	1.698	2.456	2.443	2.819	2.340	2.383
Jan-02	1.759	2.217	2.133	2.489	2.059	2.102
Feb-02	1.757	1.671	1.870	2.269	1.708	1.767
Mar-02	1.785	1.545	1.778	2.202	1.610	1.676
Apr-02	1.749	1.623	1.846	2.267	1.676	1.758
May-02	1.722	1.761	1.855	2.258	1.695	1.776
Jun-02	1.689	1.912	1.979	2.312	1.900	1.994
Jul-02	1.693	1.692	1.846	2.255	1.753	1.815
Aug-02	1.667	1.539	1.793	2.245	1.716	1.757
Sep-02	1.543	1.565	1.728	2.188	1.649	1.629
Oct-02	1.436	1.614	1.718	2.259	1.673	1.650
Nov-02	1.219	1.418	1.640	2.173	1.576	1.541
Dec-02	1.187	1.277	1.508	2.014	1.432	1.371
Jan-03	1.169	1.318	1.448	1.980	1.409	1.370
Feb-03	1.205	1.101	1.304	1.793	1.256	1.183
Mar-03	1.104	1.259	1.266	1.731	1.271	1.233
Apr-03	1.111	1.465	1.324	1.732	1.394	1.409
May-03	1.110	1.393	1.326	1.729	1.369	1.356
Jun-03	0.876	1.055	1.203	1.683	1.238	1.177
Jul-03	0.940	1.095	1.213	1.678	1.272	1.233
Aug-03	0.988	1.105	1.222	1.611	1.190	1.163
Sep-03	0.928	1.275	1.082	1.415	1.111	1.165
Oct-03	0.937	1.272	1.164	1.610	1.204	1.210
Nov-03	0.926	1.270	1.196	1.612	1.239	1.196
Dec-03	0.928	1.265	1.102	1.513	1.168	1.132

Figure 13b. Observed and Predicted Yields, 3-Month Forecast Horizon: 2-Year Yield

Data for Figure 13b

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	4.079	3.926	3.948	4.558	#N/A	#N/A
Feb-94	4.639	4.113	4.186	4.822	#N/A	#N/A
Mar-94	5.170	4.153	4.179	4.784	4.170	4.179
Apr-94	5.680	4.104	4.079	4.641	4.045	4.033
May-94	5.928	4.586	4.602	5.110	4.540	4.535
Jun-94	6.087	5.317	5.179	5.562	5.127	5.147
Jul-94	5.907	5.852	5.604	5.885	5.546	5.747
Aug-94	6.086	5.819	5.743	6.061	5.669	5.891
Sep-94	6.497	6.060	5.902	6.167	5.833	6.070
Oct-94	6.732	5.845	5.744	6.067	5.696	5.888
Nov-94	7.263	6.045	5.910	6.209	5.876	6.067
Dec-94	7.503	6.542	6.355	6.548	6.332	6.504
Jan-95	7.126	6.726	6.562	6.736	6.540	6.715
Feb-95	6.668	7.196	6.999	7.043	6.905	7.201
Mar-95	6.672	7.423	7.126	7.058	6.987	7.408
Apr-95	6.469	6.941	6.855	6.961	6.759	7.033
May-95	5.780	6.602	6.490	6.670	6.416	6.635
Jun-95	5.708	6.551	6.481	6.701	6.409	6.621
Jul-95	5.792	6.317	6.315	6.582	6.244	6.421
Aug-95	5.756	5.756	5.726	6.063	5.654	5.799
Sep-95	5.725	5.701	5.614	5.938	5.543	5.722
Oct-95	5.533	5.753	5.725	6.082	5.646	5.803
Nov-95	5.273	5.806	5.662	5.966	5.590	5.784
Dec-95	5.088	5.738	5.614	5.903	5.525	5.740
Jan-96	4.870	5.485	5.444	5.764	5.344	5.539
Feb-96	5.363	5.079	5.181	5.616	5.091	5.242
Mar-96	5.691	5.078	5.007	5.329	4.905	5.110
Apr-96	5.940	4.864	4.879	5.323	4.793	4.864
May-96	6.161	5.354	5.255	5.664	5.219	5.318
Jun-96	6.013	5.667	5.562	5.898	5.488	5.637
Jul-96	6.117	5.850	5.744	6.047	5.670	5.902
Aug-96	6.231	6.244	5.983	6.198	5.924	6.170
Sep-96	6.008	6.007	5.847	6.082	5.776	6.004
Oct-96	5.668	6.051	5.958	6.184	5.889	6.092
Nov-96	5.508	6.131	6.057	6.289	5.984	6.192
Dec-96	5.790	5.866	5.826	6.086	5.758	5.959
Jan-97	5.839	5.606	5.564	5.847	5.499	5.683
Feb-97	6.008	5.527	5.414	5.665	5.357	5.528
Mar-97	6.335	5.823	5.678	5.893	5.619	5.806
Apr-97	6.193	5.786	5.688	5.943	5.651	5.822
May-97	6.117	5.988	5.834	6.022	5.781	5.990
Jun-97	5.991	6.310	6.161	6.306	6.092	6.302
Jul-97	5.660	6.064	5.999	6.164	5.909	6.141
Aug-97	5.874	5.959	5.915	6.069	5.803	6.060
Sep-97	5.712	5.941	5.827	6.006	5.740	5.966
Oct-97	5.567	5.575	5.504	5.718	5.406	5.635
Nov-97	5.711	5.933	5.767	5.914	5.678	5.896
Dec-97	5.578	5.734	5.580	5.710	5.474	5.721
Jan-98	5.263	5.505	5.391	5.589	5.323	5.557
Feb-98	5.469	5.737	5.532	5.651	5.467	5.710
Mar-98	5.503	5.573	5.441	5.579	5.353	5.592
Apr-98	5.509	5.234	5.162	5.371	5.085	5.293
May-98	5.465	5.446	5.346	5.493	5.245	5.481
Jun-98	5.404	5.442	5.349	5.517	5.261	5.492
Jul-98	5.418	5.520	5.355	5.446	5.265	5.513
Aug-98	4.814	5.482	5.330	5.381	5.226	5.480
Sep-98	4.277	5.246	5.234	5.361	5.117	5.372
Oct-98	4.167	5.196	5.240	5.361	5.114	5.368
Nov-98	4.478	4.710	4.781	4.978	4.664	4.856
Dec-98	4.519	4.241	4.255	4.394	4.116	4.309
Jan-99	4.531	4.111	4.234	4.480	4.103	4.169
Feb-99	5.097	4.560	4.496	4.661	4.376	4.513
Mar-99	4.938	4.518	4.474	4.628	4.351	4.504
Apr-99	5.011	4.560	4.434	4.613	4.342	4.510
May-99	5.354	5.063	4.952	5.103	4.866	5.039
Jun-99	5.456	4.845	4.810	5.047	4.749	4.865
Jul-99	5.559	4.996	4.906	5.084	4.840	5.019
Aug-99	5.650	5.231	5.178	5.318	5.111	5.231
Sep-99	5.550	5.471	5.337	5.428	5.271	5.471
Oct-99	5.723	5.715	5.474	5.515	5.421	5.715
Nov-99	5.931	5.638	5.575	5.624	5.491	5.658
Dec-99	6.148	5.453	5.432	5.538	5.362	5.526
Jan-00	6.506	5.685	5.616	5.648	5.565	5.715
Feb-00	6.441	5.862	5.800	5.848	5.765	5.862
Mar-00	6.390	6.155	6.032	6.067	6.012	6.142
Apr-00	6.567	6.530	6.321	6.286	6.316	6.453
May-00	6.597	6.436	6.281	6.239	6.275	6.420
Jun-00	6.280	6.297	6.176	6.102	6.163	6.321
Jul-00	6.204	6.552	6.329	6.147	6.313	6.523
Aug-00	6.087	6.555	6.336	6.058	6.282	6.540
Sep-00	5.885	6.221	6.168	6.044	6.096	6.258
Oct-00	5.824	6.123	6.167	6.137	6.102	6.196
Nov-00	5.548	5.991	5.998	6.010	5.964	6.104
Dec-00	5.051	5.861	5.935	5.954	5.851	5.949
Jan-01	4.567	5.915	5.918	5.968	5.860	5.898
Feb-01	4.386	5.465	5.577	5.723	5.540	5.563
Mar-01	4.186	4.911	5.128	5.369	5.087	5.068
Apr-01	4.278	4.433	4.659	4.994	4.629	4.594
May-01	4.213	4.370	4.514	4.873	4.506	4.370
Jun-01	4.233	4.266	4.319	4.666	4.310	4.266
Jul-01	3.774	4.301	4.413	4.752	4.364	4.301
Aug-01	3.609	4.244	4.311	4.664	4.265	4.244
Sep-01	2.822	4.194	4.323	4.703	4.262	4.194
Oct-01	2.370	3.806	3.951	4.440	3.921	3.806
Nov-01	2.840	3.759	3.821	4.246	3.761	3.759
Dec-01	3.066	2.953	3.128	3.694	3.091	2.953
Jan-02	3.153	2.590	2.712	3.312	2.697	2.590
Feb-02	3.044	2.802	2.979	3.571	2.945	2.802
Mar-02	3.674	3.001	3.135	3.724	3.098	3.001
Apr-02	3.216	3.101	3.197	3.756	3.151	3.101
May-02	3.187	3.100	3.103	3.651	3.055	3.100
Jun-02	2.875	3.804	3.661	4.064	3.636	3.804
Jul-02	2.223	3.238	3.239	3.780	3.227	3.238
Aug-02	2.109	3.117	3.143	3.718	3.201	3.117
Sep-02	1.681	2.851	2.912	3.523	2.974	2.851
Oct-02	1.665	2.238	2.515	3.220	2.532	2.238
Nov-02	2.039	1.995	2.296	2.995	2.353	1.995
Dec-02	1.582	1.552	1.872	2.588	1.915	1.552
Jan-03	1.691	1.628	1.953	2.674	2.004	1.628
Feb-03	1.510	1.985	2.240	2.882	2.291	1.985
Mar-03	1.486	1.688	1.882	2.521	1.947	1.688
Apr-03	1.477	1.961	2.055	2.624	2.131	1.961
May-03	1.317	1.701	1.855	2.424	1.936	1.701
Jun-03	1.299	1.504	1.805	2.442	1.892	1.504
Jul-03	1.738	1.516	1.830	2.443	1.880	1.516
Aug-03	1.961	1.371	1.578	2.146	1.616	1.371
Sep-03	1.462	1.643	1.659	2.149	1.687	1.643
Oct-03	1.821	2.019	2.135	2.701	2.175	2.019
Nov-03	2.034	2.193	2.255	2.789	2.305	2.193
Dec-03	1.839	1.764	1.824	2.361	1.886	1.764

Figure 13c. Observed and Predicted Yields, 3-Month Forecast Horizon: 5-Year Yield

Data for Figure 13c

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.018	4.726	4.926	5.404	#N/A	#N/A
Feb-94	5.587	5.038	5.237	5.757	#N/A	#N/A
Mar-94	6.206	5.110	5.227	5.734	5.193	5.196
Apr-94	6.592	4.968	5.074	5.550	5.046	5.032
May-94	6.723	5.482	5.581	6.011	5.534	5.552
Jun-94	6.921	6.243	6.216	6.552	6.172	6.215
Jul-94	6.672	6.652	6.505	6.773	6.466	6.535
Aug-94	6.754	6.591	6.586	6.868	6.542	6.652
Sep-94	7.218	6.850	6.765	7.020	6.710	6.836
Oct-94	7.412	6.581	6.552	6.848	6.525	6.624
Nov-94	7.673	6.684	6.657	6.939	6.620	6.723
Dec-94	7.674	7.211	7.086	7.303	7.065	7.165
Jan-95	7.419	7.377	7.262	7.467	7.244	7.347
Feb-95	6.961	7.594	7.452	7.537	7.389	7.574
Mar-95	6.973	7.592	7.419	7.402	7.299	7.609
Apr-95	6.767	7.259	7.205	7.339	7.132	7.347
May-95	5.993	6.888	6.835	7.051	6.801	6.941
Jun-95	5.894	6.863	6.844	7.084	6.803	6.958
Jul-95	6.076	6.626	6.700	6.959	6.629	6.803
Aug-95	5.985	5.942	6.019	6.334	5.975	6.096
Sep-95	5.912	5.851	5.949	6.231	5.880	5.946
Oct-95	5.726	6.014	6.137	6.464	6.073	6.142
Nov-95	5.456	5.990	6.012	6.291	5.983	6.025
Dec-95	5.307	5.885	5.924	6.181	5.842	5.911
Jan-96	5.190	5.656	5.735	6.024	5.657	5.717
Feb-96	5.667	5.288	5.464	5.835	5.407	5.474
Mar-96	6.043	5.259	5.308	5.573	5.236	5.291
Apr-96	6.320	5.146	5.276	5.654	5.232	5.279
May-96	6.562	5.654	5.759	6.086	5.706	5.742
Jun-96	6.379	6.002	6.035	6.319	5.979	6.024
Jul-96	6.493	6.238	6.267	6.526	6.210	6.265
Aug-96	6.636	6.601	6.488	6.689	6.442	6.484
Sep-96	6.386	6.356	6.319	6.541	6.273	6.322
Oct-96	6.007	6.424	6.394	6.617	6.355	6.408
Nov-96	5.756	6.538	6.543	6.764	6.493	6.556
Dec-96	6.143	6.258	6.298	6.547	6.256	6.325
Jan-97	6.182	5.936	5.975	6.249	5.961	6.033
Feb-97	6.318	5.737	5.745	5.983	5.717	5.794
Mar-97	6.674	6.144	6.068	6.293	6.063	6.122
Apr-97	6.492	6.124	6.111	6.361	6.106	6.152
May-97	6.412	6.280	6.207	6.418	6.190	6.253
Jun-97	6.308	6.628	6.567	6.739	6.534	6.595
Jul-97	5.832	6.368	6.370	6.564	6.325	6.396
Aug-97	6.130	6.261	6.283	6.475	6.216	6.299
Sep-97	5.911	6.231	6.197	6.392	6.123	6.185
Oct-97	5.633	5.734	5.758	5.984	5.717	5.806
Nov-97	5.759	6.134	6.075	6.250	5.996	6.073
Dec-97	5.632	5.891	5.847	6.014	5.774	5.853
Jan-98	5.310	5.558	5.609	5.816	5.555	5.645
Feb-98	5.512	5.748	5.676	5.826	5.632	5.715
Mar-98	5.544	5.588	5.547	5.728	5.499	5.595
Apr-98	5.562	5.241	5.314	5.524	5.251	5.322
May-98	5.485	5.443	5.458	5.632	5.382	5.469
Jun-98	5.385	5.456	5.498	5.679	5.419	5.504
Jul-98	5.467	5.530	5.517	5.626	5.427	5.492
Aug-98	4.865	5.462	5.433	5.521	5.343	5.411
Sep-98	4.347	5.241	5.304	5.464	5.220	5.303
Oct-98	4.480	5.278	5.328	5.485	5.246	5.341
Nov-98	4.562	4.762	4.878	5.084	4.805	4.882
Dec-98	4.591	4.279	4.287	4.456	4.214	4.297
Jan-99	4.527	4.385	4.429	4.673	4.383	4.455
Feb-99	5.206	4.574	4.622	4.785	4.514	4.584
Mar-99	5.169	4.549	4.596	4.736	4.489	4.562
Apr-99	5.266	4.511	4.578	4.725	4.489	4.550
May-99	5.640	5.159	5.164	5.320	5.083	5.140
Jun-99	5.759	5.068	5.121	5.336	5.061	5.120
Jul-99	5.922	5.222	5.192	5.373	5.143	5.194
Aug-99	5.968	5.539	5.488	5.633	5.455	5.506
Sep-99	5.879	5.749	5.631	5.752	5.613	5.653
Oct-99	6.045	6.003	5.810	5.888	5.793	5.815
Nov-99	6.143	5.931	5.851	5.952	5.829	5.866
Dec-99	6.390	5.783	5.744	5.865	5.743	5.777
Jan-00	6.660	6.004	5.873	5.948	5.857	5.896
Feb-00	6.569	6.083	6.009	6.098	5.993	6.046
Mar-00	6.253	6.380	6.259	6.334	6.256	6.299
Apr-00	6.456	6.668	6.472	6.494	6.477	6.518
May-00	6.453	6.555	6.376	6.391	6.396	6.462
Jun-00	6.158	6.194	6.092	6.086	6.098	6.172
Jul-00	6.134	6.464	6.232	6.148	6.233	6.283
Aug-00	5.932	6.416	6.236	6.070	6.179	6.244
Sep-00	5.797	6.112	6.054	6.012	6.035	6.088
Oct-00	5.706	6.082	6.011	6.065	6.039	6.092
Nov-00	5.389	5.864	5.829	5.884	5.851	5.916
Dec-00	4.989	5.778	5.832	5.889	5.806	5.864
Jan-01	4.847	5.780	5.776	5.864	5.772	5.824
Feb-01	4.699	5.342	5.443	5.595	5.447	5.510
Mar-01	4.620	4.899	5.075	5.309	5.089	5.150
Apr-01	4.938	4.754	4.910	5.222	4.933	4.979
May-01	4.977	4.703	4.778	5.091	4.827	4.830
Jun-01	5.067	4.687	4.730	5.035	4.762	4.753
Jul-01	4.671	4.945	5.030	5.328	5.015	5.010
Aug-01	4.497	4.995	5.042	5.342	5.024	5.022
Sep-01	4.055	5.046	5.054	5.366	5.057	5.065
Oct-01	3.675	4.696	4.735	5.103	4.763	4.757
Nov-01	4.103	4.597	4.576	4.897	4.583	4.586
Dec-01	4.447	4.142	4.159	4.598	4.204	4.166
Jan-02	4.519	3.823	3.856	4.274	3.872	3.791
Feb-02	4.358	4.056	4.274	4.684	4.231	4.185
Mar-02	5.003	4.387	4.520	4.942	4.491	4.475
Apr-02	4.584	4.471	4.524	4.913	4.501	4.502
May-02	4.414	4.378	4.398	4.769	4.377	4.392
Jun-02	4.149	5.078	4.955	5.205	4.920	4.991
Jul-02	3.636	4.589	4.580	4.944	4.597	4.584
Aug-02	3.284	4.360	4.465	4.850	4.475	4.467
Sep-02	2.673	4.111	4.253	4.681	4.285	4.258
Oct-02	2.876	3.609	3.857	4.391	3.914	3.855
Nov-02	3.319	3.171	3.500	4.018	3.553	3.475
Dec-02	2.809	2.542	2.994	3.511	3.002	2.749
Jan-03	3.044	2.802	3.194	3.754	3.228	2.965
Feb-03	2.726	3.250	3.511	4.023	3.558	3.358
Mar-03	2.825	2.851	3.113	3.623	3.173	2.922
Apr-03	2.887	3.196	3.314	3.775	3.395	3.184
May-03	2.351	2.825	3.019	3.486	3.100	2.855
Jun-03	2.501	2.813	3.066	3.589	3.173	2.899
Jul-03	3.362	2.888	3.101	3.609	3.195	2.957
Aug-03	3.513	2.350	2.698	3.114	2.693	2.463
Sep-03	2.880	2.705	2.857	3.232	2.857	2.685
Oct-03	3.296	3.517	3.620	4.086	3.685	3.498
Nov-03	3.387	3.636	3.691	4.137	3.771	3.590
Dec-03	3.264	3.053	3.182	3.607	3.257	3.033

Figure 13d. Observed and Predicted Yields, 3-Month Forecast Horizon: 10-Year Yield

Notes: The figure shows the observed yields for different maturities, together with the 3-month forecast from selected models. See Figure 12 for further details.

Data for Figure 13d

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.850	5.528	5.573	5.883	#N/A	#N/A
Feb-94	6.201	5.916	5.960	6.295	#N/A	#N/A
Mar-94	6.873	5.922	5.944	6.274	5.912	5.953
Apr-94	7.148	5.776	5.771	6.055	5.742	5.776
May-94	7.234	6.079	6.203	6.482	6.129	6.201
Jun-94	7.454	6.884	6.817	7.039	6.756	6.796
Jul-94	7.281	7.183	6.997	7.161	6.979	7.010
Aug-94	7.263	7.099	7.021	7.197	6.984	7.065
Sep-94	7.678	7.375	7.219	7.363	7.185	7.269
Oct-94	7.855	7.180	7.046	7.179	7.000	7.102
Nov-94	7.856	7.181	7.134	7.256	7.062	7.154
Dec-94	7.742	7.655	7.520	7.603	7.461	7.545
Jan-95	7.560	7.808	7.687	7.744	7.624	7.713
Feb-95	7.133	7.770	7.656	7.630	7.577	7.714
Mar-95	7.199	7.651	7.450	7.331	7.348	7.549
Apr-95	7.104	7.395	7.424	7.402	7.298	7.452
May-95	6.329	7.042	7.160	7.175	7.008	7.143
Jun-95	6.281	7.075	7.201	7.224	7.049	7.174
Jul-95	6.544	6.950	7.059	7.117	6.959	7.064
Aug-95	6.318	6.249	6.403	6.494	6.286	6.404
Sep-95	6.202	6.210	6.305	6.381	6.189	6.302
Oct-95	6.043	6.460	6.564	6.678	6.449	6.555
Nov-95	5.718	6.294	6.376	6.453	6.274	6.371
Dec-95	5.564	6.149	6.236	6.307	6.117	6.229
Jan-96	5.605	5.952	6.050	6.151	5.945	6.067
Feb-96	6.108	5.537	5.835	5.982	5.694	5.843
Mar-96	6.323	5.490	5.575	5.688	5.493	5.616
Apr-96	6.634	5.535	5.707	5.880	5.611	5.729
May-96	6.787	6.080	6.178	6.325	6.109	6.194
Jun-96	6.674	6.268	6.406	6.528	6.285	6.385
Jul-96	6.749	6.547	6.622	6.723	6.523	6.610
Aug-96	6.902	6.812	6.820	6.881	6.704	6.777
Sep-96	6.678	6.640	6.645	6.715	6.555	6.632
Oct-96	6.302	6.676	6.697	6.780	6.608	6.691
Nov-96	6.014	6.801	6.875	6.945	6.766	6.846
Dec-96	6.387	6.549	6.638	6.730	6.539	6.627
Jan-97	6.480	6.220	6.322	6.433	6.259	6.343
Feb-97	6.488	5.976	6.035	6.124	5.954	6.051
Mar-97	6.827	6.373	6.393	6.454	6.304	6.382
Apr-97	6.651	6.413	6.467	6.536	6.366	6.450
May-97	6.593	6.439	6.520	6.566	6.410	6.489
Jun-97	6.429	6.772	6.854	6.884	6.737	6.806
Jul-97	5.962	6.522	6.647	6.689	6.522	6.611
Aug-97	6.252	6.439	6.527	6.595	6.416	6.514
Sep-97	6.035	6.342	6.478	6.528	6.322	6.424
Oct-97	5.770	5.854	6.007	6.084	5.886	6.000
Nov-97	5.808	6.241	6.318	6.360	6.185	6.278
Dec-97	5.683	6.000	6.056	6.097	5.936	6.035
Jan-98	5.491	5.684	5.850	5.880	5.705	5.819
Feb-98	5.540	5.780	5.857	5.842	5.742	5.835
Mar-98	5.574	5.621	5.735	5.755	5.592	5.711
Apr-98	5.602	5.403	5.530	5.582	5.439	5.544
May-98	5.461	5.455	5.625	5.665	5.482	5.603
Jun-98	5.346	5.476	5.681	5.719	5.536	5.651
Jul-98	5.419	5.560	5.622	5.640	5.535	5.627
Aug-98	5.047	5.428	5.493	5.503	5.396	5.496
Sep-98	4.443	5.200	5.421	5.449	5.286	5.405
Oct-98	4.668	5.235	5.412	5.473	5.304	5.424
Nov-98	4.664	4.933	5.041	5.119	4.953	5.073
Dec-98	4.599	4.347	4.427	4.449	4.316	4.440
Jan-99	4.624	4.550	4.665	4.773	4.586	4.699
Feb-99	5.253	4.648	4.777	4.836	4.679	4.783
Mar-99	5.231	4.540	4.708	4.761	4.597	4.709
Apr-99	5.361	4.590	4.727	4.754	4.620	4.718
May-99	5.512	5.201	5.336	5.370	5.211	5.303
Jun-99	5.711	5.128	5.374	5.453	5.236	5.336
Jul-99	5.831	5.311	5.406	5.482	5.316	5.402
Aug-99	5.863	5.424	5.659	5.716	5.540	5.625
Sep-99	5.792	5.703	5.780	5.844	5.711	5.779
Oct-99	5.952	5.908	5.962	5.997	5.884	5.933
Nov-99	6.141	5.830	5.978	6.032	5.892	5.961
Dec-99	6.387	5.706	5.891	5.949	5.808	5.878
Jan-00	6.557	5.920	5.963	5.999	5.920	5.975
Feb-00	6.236	6.085	6.106	6.137	6.070	6.128
Mar-00	6.047	6.375	6.387	6.379	6.333	6.380
Apr-00	6.039	6.565	6.552	6.482	6.476	6.517
May-00	6.116	6.231	6.416	6.360	6.306	6.362
Jun-00	5.904	5.993	6.037	5.967	5.989	6.045
Jul-00	5.913	6.055	6.107	5.983	6.020	6.066
Aug-00	5.573	6.078	5.998	5.846	5.954	5.994
Sep-00	5.703	5.855	5.933	5.876	5.876	5.937
Oct-00	5.667	5.856	5.996	5.961	5.921	5.996
Nov-00	5.410	5.504	5.785	5.770	5.698	5.785
Dec-00	5.097	5.672	5.797	5.821	5.766	5.841
Jan-01	5.162	5.721	5.790	5.800	5.762	5.831
Feb-01	4.859	5.349	5.498	5.536	5.457	5.548
Mar-01	4.919	4.994	5.220	5.319	5.188	5.282
Apr-01	5.372	5.053	5.239	5.393	5.203	5.287
May-01	5.436	4.844	5.140	5.282	5.072	5.149
Jun-01	5.477	4.957	5.145	5.290	5.077	5.143
Jul-01	5.166	5.353	5.453	5.659	5.429	5.487
Aug-01	4.844	5.432	5.501	5.717	5.487	5.535
Sep-01	4.682	5.447	5.505	5.725	5.497	5.551
Oct-01	4.367	5.178	5.256	5.534	5.277	5.332
Nov-01	4.911	4.923	5.041	5.310	5.042	5.099
Dec-01	5.206	4.751	4.841	5.180	4.861	4.902
Jan-02	5.205	4.498	4.558	4.922	4.607	4.608
Feb-02	4.930	4.867	4.941	5.339	5.002	5.039
Mar-02	5.460	5.158	5.210	5.634	5.282	5.318
Apr-02	5.193	5.171	5.143	5.559	5.238	5.275
May-02	5.187	4.958	5.005	5.405	5.079	5.111
Jun-02	4.993	5.542	5.459	5.766	5.541	5.549
Jul-02	4.716	5.219	5.210	5.586	5.308	5.322
Aug-02	4.234	5.164	5.116	5.478	5.228	5.241
Sep-02	3.751	4.975	4.974	5.369	5.081	5.100
Oct-02	4.100	4.699	4.720	5.191	4.862	4.889
Nov-02	4.305	4.143	4.296	4.722	4.384	4.428
Dec-02	3.976	3.638	3.808	4.190	3.868	3.886
Jan-03	4.137	4.027	4.147	4.543	4.201	4.212
Feb-03	3.805	4.240	4.415	4.763	4.424	4.427
Mar-03	3.948	4.001	4.071	4.407	4.118	4.115
Apr-03	4.013	4.255	4.266	4.574	4.323	4.310
May-03	3.483	3.877	3.967	4.258	3.999	3.991
Jun-03	3.662	3.927	4.100	4.421	4.131	4.085
Jul-03	4.590	3.997	4.133	4.456	4.187	4.147
Aug-03	4.592	3.456	3.567	3.845	3.605	3.586
Sep-03	4.122	3.814	3.756	4.013	3.799	3.773
Oct-03	4.492	4.701	4.715	5.044	4.757	4.714
Nov-03	4.458	4.684	4.728	5.039	4.771	4.733
Dec-03	4.420	4.255	4.204	4.505	4.300	4.267

Figure 14a. Observed and Predicted Yields, 6-Month Forecast Horizon: 3-Month Yield

Data for Figure 14a

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	3.016	3.223	3.241	3.975	#N/A	#N/A
Feb-94	3.431	3.080	3.181	3.893	#N/A	#N/A
Mar-94	3.536	3.041	3.106	3.783	#N/A	#N/A
Apr-94	3.945	3.152	3.188	3.844	#N/A	#N/A
May-94	4.270	3.123	3.336	4.064	#N/A	#N/A
Jun-94	4.223	3.035	3.262	3.989	3.105	3.037
Jul-94	4.353	3.124	3.174	3.838	3.030	2.948
Aug-94	4.644	3.467	3.546	4.180	3.421	3.363
Sep-94	4.776	3.972	3.788	4.410	3.820	3.974
Oct-94	5.138	4.345	4.111	4.646	4.144	4.258
Nov-94	5.665	4.217	4.341	4.835	4.256	4.253
Dec-94	5.662	4.297	4.337	4.849	4.312	4.310
Jan-95	5.932	4.329	4.445	4.916	4.349	4.307
Feb-95	5.868	4.661	4.747	5.154	4.640	4.645
Mar-95	5.823	4.945	4.953	5.338	4.907	4.901
Apr-95	5.809	5.180	5.147	5.502	5.137	5.118
May-95	5.742	5.648	5.675	5.803	5.515	5.568
Jun-95	5.551	5.606	5.601	5.637	5.406	5.422
Jul-95	5.527	5.642	5.871	5.948	5.523	5.730
Aug-95	5.398	5.711	5.777	5.892	5.474	5.654
Sep-95	5.353	5.574	5.857	5.976	5.449	5.639
Oct-95	5.421	5.571	5.817	5.949	5.384	5.582
Nov-95	5.424	5.652	5.661	5.766	5.250	5.453
Dec-95	5.059	5.532	5.425	5.543	5.075	5.285
Jan-96	5.000	5.394	5.462	5.660	5.041	5.236
Feb-96	4.982	5.432	5.379	5.520	5.017	5.220
Mar-96	5.099	5.341	5.356	5.457	4.921	5.151
Apr-96	5.100	5.261	5.259	5.379	4.849	5.083
May-96	5.138	4.965	5.310	5.432	4.738	4.808
Jun-96	5.144	5.033	4.833	4.949	4.491	4.667
Jul-96	5.279	4.872	4.890	5.116	4.470	4.588
Aug-96	5.249	4.881	4.978	5.229	4.620	4.715
Sep-96	5.057	4.982	5.125	5.345	4.718	4.814
Oct-96	5.116	4.875	5.023	5.275	4.692	4.753
Nov-96	5.098	5.232	5.159	5.367	4.901	4.988
Dec-96	5.120	5.056	5.066	5.279	4.835	4.898
Jan-97	5.125	5.128	5.230	5.411	4.972	5.128
Feb-97	5.196	5.077	5.259	5.457	4.968	5.077
Mar-97	5.286	4.814	5.097	5.310	4.776	4.814
Apr-97	5.256	4.989	5.078	5.259	4.792	4.989
May-97	5.140	5.135	5.053	5.159	4.803	5.135
Jun-97	5.194	5.113	5.059	5.214	4.874	5.113
Jul-97	5.203	5.005	5.102	5.269	4.864	5.005
Aug-97	5.185	5.148	5.181	5.301	4.968	5.148
Sep-97	5.020	5.298	5.346	5.465	5.140	5.286
Oct-97	5.173	5.049	5.207	5.345	4.940	5.107
Nov-97	5.257	4.942	5.074	5.212	4.808	4.942
Dec-97	5.307	5.155	5.151	5.270	4.848	5.041
Jan-98	5.158	5.041	5.145	5.199	4.779	5.041
Feb-98	5.274	5.303	5.156	5.231	4.916	5.124
Mar-98	5.134	5.040	4.951	5.020	4.690	5.040
Apr-98	4.946	5.009	5.027	5.050	4.720	5.009
May-98	4.997	5.259	5.134	5.079	4.874	5.259
Jun-98	5.012	5.261	5.191	5.127	4.898	5.261
Jul-98	5.049	5.152	5.071	5.028	4.795	5.152
Aug-98	4.846	5.246	5.157	5.091	4.845	5.246
Sep-98	4.302	5.053	5.138	5.075	4.770	5.053
Oct-98	4.323	5.031	4.906	4.851	4.673	5.031
Nov-98	4.490	5.030	4.864	4.782	4.678	5.030
Dec-98	4.435	4.671	4.975	4.881	4.561	4.671
Jan-99	4.437	4.649	4.911	4.830	4.532	4.833
Feb-99	4.642	4.604	4.749	4.685	4.383	4.604
Mar-99	4.453	4.161	4.188	4.069	3.859	4.103
Apr-99	4.518	4.227	4.174	4.186	3.876	4.095
May-99	4.620	4.645	4.468	4.380	4.197	4.380
Jun-99	4.734	4.430	4.403	4.289	4.063	4.240
Jul-99	4.713	4.463	4.388	4.280	4.040	4.200
Aug-99	4.906	4.489	4.564	4.545	4.260	4.377
Sep-99	4.807	4.294	4.487	4.533	4.151	4.294
Oct-99	5.045	4.485	4.506	4.538	4.264	4.485
Nov-99	5.249	4.378	4.566	4.593	4.324	4.378
Dec-99	5.327	4.784	4.699	4.712	4.563	4.784
Jan-00	5.663	5.047	4.697	4.716	4.677	5.047
Feb-00	5.735	4.871	4.825	4.842	4.736	4.871
Mar-00	5.827	4.699	4.757	4.775	4.606	4.699
Apr-00	5.800	4.966	4.852	4.839	4.829	4.966
May-00	5.575	5.123	5.176	5.131	5.079	5.147
Jun-00	5.839	5.352	5.362	5.323	5.274	5.356
Jul-00	6.194	5.695	5.635	5.495	5.564	5.695
Aug-00	6.256	5.759	5.732	5.536	5.654	5.759
Sep-00	6.166	5.648	5.895	5.558	5.663	5.648
Oct-00	6.308	5.765	5.751	5.378	5.669	5.765
Nov-00	6.162	5.620	5.399	5.031	5.436	5.620
Dec-00	5.849	5.800	5.859	5.488	5.681	5.800
Jan-01	4.966	5.911	6.146	5.819	5.863	5.911
Feb-01	4.833	6.064	6.196	5.817	5.907	6.064
Mar-01	4.266	6.060	6.046	5.762	5.811	6.060
Apr-01	3.853	6.291	6.205	5.906	5.995	6.291
May-01	3.605	5.802	6.030	5.760	5.709	5.802
Jun-01	3.628	5.403	5.672	5.478	5.331	5.403
Jul-01	3.521	4.608	4.826	4.877	4.541	4.608
Aug-01	3.335	4.666	4.814	4.860	4.521	4.666
Sep-01	2.349	4.315	4.305	4.461	4.085	4.210
Oct-01	2.027	3.929	3.904	4.227	3.765	3.898
Nov-01	1.782	3.667	3.622	4.010	3.479	3.621
Dec-01	1.698	3.479	3.610	4.032	3.425	3.539
Jan-02	1.759	3.555	3.595	4.042	3.348	3.464
Feb-02	1.757	3.530	3.385	3.822	3.200	3.336
Mar-02	1.785	2.513	2.496	3.181	2.370	2.396
Apr-02	1.749	2.513	2.205	2.884	2.175	2.247
May-02	1.722	1.780	1.946	2.720	1.763	1.792
Jun-02	1.689	1.610	1.883	2.687	1.673	1.682
Jul-02	1.693	1.648	1.939	2.722	1.711	1.739
Aug-02	1.667	1.856	1.944	2.696	1.766	1.815
Sep-02	1.543	2.042	2.055	2.737	2.025	2.122
Oct-02	1.436	1.754	1.959	2.701	1.879	1.931
Nov-02	1.219	1.557	1.928	2.676	1.839	1.837
Dec-02	1.187	1.659	1.868	2.635	1.803	1.776
Jan-03	1.169	1.684	1.844	2.724	1.809	1.783
Feb-03	1.205	1.411	1.796	2.574	1.665	1.622
Mar-03	1.104	1.289	1.671	2.371	1.498	1.470
Apr-03	1.111	1.359	1.588	2.408	1.514	1.468
May-03	1.110	1.135	1.457	2.237	1.398	1.340
Jun-03	0.876	1.434	1.406	2.164	1.458	1.445
Jul-03	0.940	1.764	1.440	2.180	1.652	1.605
Aug-03	0.988	1.602	1.440	2.137	1.577	1.525
Sep-03	0.928	1.210	1.363	2.126	1.439	1.414
Oct-03	0.937	1.277	1.356	2.125	1.463	1.447
Nov-03	0.926	1.376	1.357	1.969	1.332	1.346
Dec-03	0.928	1.652	1.166	1.823	1.330	1.424

Figure 14b. Observed and Predicted Yields, 6-Month Forecast Horizon: 2-Year Yield

Data for Figure 14b

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	4.079	4.081	4.228	5.226	#N/A	#N/A
Feb-94	4.639	3.751	3.973	5.007	#N/A	#N/A
Mar-94	5.170	3.809	3.959	4.921	#N/A	#N/A
Apr-94	5.680	3.885	4.031	4.962	#N/A	#N/A
May-94	5.928	4.034	4.264	5.261	#N/A	#N/A
Jun-94	6.087	4.084	4.257	5.216	4.149	4.084
Jul-94	5.907	4.062	4.153	5.043	4.031	4.062
Aug-94	6.086	4.552	4.666	5.447	4.501	4.552
Sep-94	6.497	5.362	5.201	5.858	5.127	5.362
Oct-94	6.732	5.838	5.611	6.073	5.511	5.838
Nov-94	7.263	5.748	5.789	6.198	5.576	5.671
Dec-94	7.503	5.994	5.930	6.295	5.745	5.926
Jan-95	7.126	5.767	5.782	6.218	5.609	5.774
Feb-95	6.668	5.992	5.940	6.361	5.800	5.967
Mar-95	6.672	6.498	6.363	6.646	6.248	6.419
Apr-95	6.469	6.654	6.573	6.805	6.442	6.609
May-95	5.780	7.123	7.006	6.953	6.738	7.192
Jun-95	5.708	7.323	7.128	6.809	6.752	7.387
Jul-95	5.792	6.810	6.867	6.891	6.549	7.011
Aug-95	5.756	6.481	6.490	6.701	6.258	6.621
Sep-95	5.725	6.415	6.484	6.754	6.244	6.603
Oct-95	5.533	6.220	6.321	6.670	6.088	6.417
Nov-95	5.273	5.689	5.725	6.226	5.537	5.811
Dec-95	5.088	5.664	5.616	6.077	5.415	5.642
Jan-96	4.870	5.657	5.718	6.266	5.514	5.780
Feb-96	5.363	5.748	5.659	6.104	5.461	5.639
Mar-96	5.691	5.676	5.613	6.010	5.380	5.512
Apr-96	5.940	5.391	5.453	5.884	5.191	5.439
May-96	6.161	4.930	5.213	5.790	4.925	5.082
Jun-96	6.013	5.062	5.033	5.442	4.765	4.912
Jul-96	6.117	4.778	4.890	5.564	4.674	4.808
Aug-96	6.231	5.309	5.281	5.869	5.130	5.244
Sep-96	6.008	5.568	5.558	6.051	5.348	5.424
Oct-96	5.668	5.718	5.759	6.147	5.516	5.599
Nov-96	5.508	6.162	5.977	6.279	5.800	5.924
Dec-96	5.790	5.888	5.853	6.155	5.645	5.818
Jan-97	5.839	5.941	5.976	6.250	5.759	5.956
Feb-97	6.008	6.018	6.073	6.356	5.847	6.097
Mar-97	6.335	5.745	5.851	6.170	5.621	5.854
Apr-97	6.193	5.532	5.588	5.972	5.396	5.586
May-97	6.117	5.506	5.431	5.769	5.264	5.524
Jun-97	5.991	5.738	5.681	5.979	5.514	5.718
Jul-97	5.660	5.699	5.712	6.041	5.550	5.723
Aug-97	5.874	5.902	5.844	6.085	5.669	5.853
Sep-97	5.712	6.246	6.170	6.339	5.974	6.209
Oct-97	5.567	5.936	6.007	6.187	5.750	5.998
Nov-97	5.711	5.856	5.938	6.083	5.640	6.054
Dec-97	5.578	5.868	5.830	6.057	5.597	5.911
Jan-98	5.263	5.479	5.516	5.781	5.253	5.638
Feb-98	5.469	5.886	5.766	5.953	5.549	5.908
Mar-98	5.503	5.652	5.579	5.728	5.328	5.724
Apr-98	5.509	5.396	5.411	5.618	5.177	5.545
May-98	5.465	5.657	5.545	5.630	5.326	5.715
Jun-98	5.404	5.489	5.453	5.589	5.218	5.585
Jul-98	5.418	5.224	5.195	5.430	4.987	5.305
Aug-98	4.814	5.389	5.352	5.517	5.108	5.482
Sep-98	4.277	5.381	5.374	5.539	5.127	5.500
Oct-98	4.167	5.512	5.375	5.418	5.138	5.539
Nov-98	4.478	5.442	5.343	5.324	5.086	5.492
Dec-98	4.519	5.096	5.263	5.327	4.942	5.348
Jan-99	4.531	5.074	5.292	5.320	4.942	5.355
Feb-99	5.097	4.645	4.823	5.024	4.544	4.845
Mar-99	4.938	4.154	4.298	4.393	3.972	4.333
Apr-99	5.011	4.090	4.291	4.587	4.005	4.231
May-99	5.354	4.591	4.520	4.724	4.290	4.530
Jun-99	5.456	4.513	4.507	4.654	4.237	4.498
Jul-99	5.559	4.549	4.468	4.643	4.235	4.447
Aug-99	5.650	4.946	4.974	5.113	4.726	4.922
Sep-99	5.550	4.773	4.857	5.126	4.647	4.810
Oct-99	5.723	4.946	4.934	5.149	4.749	4.942
Nov-99	5.931	5.133	5.216	5.325	4.991	5.232
Dec-99	6.148	5.450	5.363	5.443	5.196	5.424
Jan-00	6.506	5.751	5.478	5.529	5.376	5.601
Feb-00	6.441	5.563	5.586	5.613	5.402	5.599
Mar-00	6.390	5.416	5.479	5.535	5.288	5.551
Apr-00	6.567	5.634	5.639	5.606	5.480	5.730
May-00	6.597	5.794	5.827	5.808	5.680	5.915
Jun-00	6.280	6.099	6.045	6.025	5.937	6.151
Jul-00	6.204	6.452	6.324	6.182	6.221	6.479
Aug-00	6.087	6.401	6.296	6.135	6.197	6.429
Sep-00	5.885	6.217	6.191	5.952	6.053	6.330
Oct-00	5.824	6.494	6.345	5.918	6.196	6.523
Nov-00	5.548	6.509	6.341	5.738	6.122	6.540
Dec-00	5.051	6.216	6.182	5.881	5.999	6.277
Jan-01	4.567	6.001	6.162	6.044	5.984	6.179
Feb-01	4.386	5.983	6.030	5.934	5.887	6.088
Mar-01	4.186	5.873	5.927	5.920	5.778	5.940
Apr-01	4.278	5.911	5.906	5.961	5.811	5.917
May-01	4.213	5.389	5.588	5.741	5.464	5.570
Jun-01	4.233	4.850	5.163	5.464	5.033	5.090
Jul-01	3.774	4.394	4.698	5.194	4.599	4.628
Aug-01	3.609	4.390	4.547	5.106	4.514	4.439
Sep-01	2.822	4.318	4.338	4.924	4.327	4.281
Oct-01	2.370	4.378	4.436	5.020	4.375	4.423
Nov-01	2.840	4.305	4.330	4.949	4.268	4.283
Dec-01	3.066	4.176	4.349	4.969	4.237	4.251
Jan-02	3.153	3.921	4.001	4.815	3.977	3.959
Feb-02	3.044	3.870	3.843	4.602	3.815	3.870
Mar-02	3.674	3.048	3.192	4.184	3.202	3.048
Apr-02	3.216	2.906	2.814	3.870	2.916	2.700
May-02	3.187	2.941	3.068	4.062	3.040	2.948
Jun-02	2.875	3.091	3.236	4.206	3.179	3.129
Jul-02	2.223	3.160	3.289	4.198	3.204	3.199
Aug-02	2.109	3.214	3.199	4.097	3.146	3.153
Sep-02	1.681	3.918	3.733	4.376	3.698	3.778
Oct-02	1.665	3.320	3.345	4.205	3.341	3.294
Nov-02	2.039	3.163	3.265	4.136	3.313	3.163
Dec-02	1.582	2.957	3.044	4.016	3.136	2.957
Jan-03	1.691	2.334	2.646	3.862	2.750	2.334
Feb-03	1.510	2.035	2.453	3.570	2.525	2.035
Mar-03	1.486	1.610	2.048	3.167	2.097	1.774
Apr-03	1.477	1.692	2.102	3.323	2.203	1.815
May-03	1.317	2.028	2.381	3.435	2.455	2.145
Jun-03	1.299	1.860	2.030	3.144	2.201	1.822
Jul-03	1.738	2.227	2.181	3.239	2.425	2.033
Aug-03	1.961	1.901	1.983	3.031	2.203	1.796
Sep-03	1.462	1.665	1.963	3.081	2.154	1.700
Oct-03	1.821	1.694	1.974	3.083	2.143	1.710
Nov-03	2.034	1.619	1.730	2.712	1.839	1.553
Dec-03	1.839	1.964	1.766	2.730	1.953	1.678

Figure 14c. Observed and Predicted Yields, 6-Month Forecast Horizon: 5-Year Yield

Data for Figure 14c

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.018	4.994	5.302	6.079	#N/A	#N/A
Feb-94	5.587	4.571	4.988	5.792	#N/A	#N/A
Mar-94	6.206	4.589	4.949	5.699	#N/A	#N/A
Apr-94	6.592	4.617	4.994	5.722	#N/A	#N/A
May-94	6.723	4.914	5.300	6.094	#N/A	#N/A
Jun-94	6.921	4.993	5.290	6.063	5.140	4.993
Jul-94	6.672	4.870	5.135	5.859	4.997	4.870
Aug-94	6.754	5.393	5.631	6.265	5.467	5.393
Sep-94	7.218	6.216	6.225	6.759	6.124	6.216
Oct-94	7.412	6.587	6.505	6.898	6.392	6.495
Nov-94	7.673	6.489	6.619	6.958	6.436	6.538
Dec-94	7.674	6.755	6.783	7.096	6.598	6.713
Jan-95	7.419	6.480	6.583	6.953	6.421	6.598
Feb-95	6.961	6.608	6.683	7.050	6.533	6.704
Mar-95	6.973	7.146	7.094	7.364	6.966	7.074
Apr-95	6.767	7.301	7.277	7.505	7.138	7.281
May-95	5.993	7.519	7.465	7.464	7.244	7.483
Jun-95	5.894	7.506	7.432	7.211	7.107	7.413
Jul-95	6.076	7.148	7.230	7.297	6.974	7.261
Aug-95	5.985	6.786	6.854	7.097	6.684	6.933
Sep-95	5.912	6.753	6.868	7.148	6.684	6.944
Oct-95	5.726	6.540	6.726	7.054	6.522	6.780
Nov-95	5.456	5.875	6.045	6.508	5.914	6.190
Dec-95	5.307	5.804	5.974	6.382	5.810	6.061
Jan-96	5.190	5.927	6.155	6.643	5.994	6.241
Feb-96	5.667	5.929	6.030	6.437	5.908	6.131
Mar-96	6.043	5.819	5.945	6.305	5.758	6.004
Apr-96	6.320	5.563	5.766	6.162	5.569	5.836
May-96	6.562	5.157	5.519	6.024	5.319	5.626
Jun-96	6.379	5.217	5.352	5.708	5.160	5.404
Jul-96	6.493	5.056	5.311	5.889	5.176	5.417
Aug-96	6.636	5.613	5.797	6.279	5.668	5.831
Sep-96	6.386	5.911	6.048	6.466	5.892	6.030
Oct-96	6.007	6.128	6.292	6.620	6.103	6.245
Nov-96	5.756	6.523	6.490	6.765	6.348	6.463
Dec-96	6.143	6.253	6.335	6.614	6.176	6.341
Jan-97	6.182	6.324	6.417	6.686	6.258	6.428
Feb-97	6.318	6.432	6.564	6.829	6.385	6.552
Mar-97	6.674	6.149	6.329	6.629	6.151	6.333
Apr-97	6.492	5.859	6.007	6.373	5.892	6.082
May-97	6.412	5.696	5.771	6.100	5.662	5.858
Jun-97	6.308	6.063	6.083	6.384	5.988	6.152
Jul-97	5.832	6.043	6.142	6.460	6.033	6.199
Aug-97	6.130	6.198	6.227	6.490	6.104	6.267
Sep-97	5.911	6.560	6.583	6.779	6.437	6.576
Oct-97	5.633	6.252	6.390	6.600	6.200	6.375
Nov-97	5.759	6.158	6.313	6.503	6.086	6.273
Dec-97	5.632	6.148	6.211	6.454	6.010	6.202
Jan-98	5.310	5.638	5.784	6.071	5.614	5.824
Feb-98	5.512	6.068	6.082	6.308	5.896	6.086
Mar-98	5.544	5.802	5.860	6.058	5.665	5.862
Apr-98	5.562	5.453	5.641	5.878	5.455	5.676
May-98	5.485	5.664	5.700	5.851	5.534	5.728
Jun-98	5.385	5.496	5.573	5.783	5.408	5.624
Jul-98	5.467	5.195	5.353	5.620	5.192	5.420
Aug-98	4.865	5.361	5.475	5.699	5.288	5.482
Sep-98	4.347	5.375	5.529	5.742	5.325	5.512
Oct-98	4.480	5.489	5.541	5.644	5.333	5.494
Nov-98	4.562	5.401	5.454	5.518	5.245	5.408
Dec-98	4.591	5.105	5.347	5.484	5.098	5.297
Jan-99	4.527	5.164	5.387	5.497	5.127	5.312
Feb-99	5.206	4.690	4.935	5.173	4.738	4.919
Mar-99	5.169	4.179	4.355	4.507	4.119	4.310
Apr-99	5.266	4.325	4.498	4.804	4.323	4.512
May-99	5.640	4.557	4.660	4.885	4.464	4.629
Jun-99	5.759	4.510	4.642	4.806	4.421	4.568
Jul-99	5.922	4.468	4.622	4.798	4.427	4.545
Aug-99	5.968	5.050	5.195	5.364	4.982	5.093
Sep-99	5.879	4.982	5.168	5.431	4.986	5.114
Oct-99	6.045	5.153	5.223	5.456	5.075	5.192
Nov-99	6.143	5.451	5.530	5.662	5.366	5.480
Dec-99	6.390	5.709	5.655	5.788	5.554	5.647
Jan-00	6.660	5.999	5.813	5.917	5.749	5.809
Feb-00	6.569	5.849	5.865	5.964	5.755	5.832
Mar-00	6.253	5.730	5.784	5.885	5.681	5.752
Apr-00	6.456	5.951	5.899	5.937	5.789	5.875
May-00	6.453	6.021	6.038	6.094	5.928	6.024
Jun-00	6.158	6.324	6.274	6.324	6.196	6.275
Jul-00	6.134	6.602	6.481	6.437	6.399	6.496
Aug-00	5.932	6.521	6.396	6.341	6.338	6.439
Sep-00	5.797	6.147	6.122	6.015	6.033	6.161
Oct-00	5.706	6.440	6.262	6.007	6.153	6.271
Nov-00	5.389	6.386	6.255	5.850	6.053	6.177
Dec-00	4.989	6.116	6.083	5.931	5.983	6.117
Jan-01	4.847	6.005	6.033	6.048	5.977	6.153
Feb-01	4.699	5.870	5.877	5.886	5.832	5.992
Mar-01	4.620	5.798	5.848	5.920	5.793	5.949
Apr-01	4.938	5.791	5.787	5.922	5.780	5.933
May-01	4.977	5.305	5.483	5.677	5.444	5.602
Jun-01	5.067	4.870	5.136	5.450	5.106	5.312
Jul-01	4.671	4.736	4.975	5.423	4.951	5.102
Aug-01	4.497	4.735	4.839	5.322	4.884	4.997
Sep-01	4.055	4.737	4.775	5.271	4.811	4.920
Oct-01	3.675	4.999	5.068	5.550	5.037	5.140
Nov-01	4.103	5.039	5.075	5.566	5.034	5.128
Dec-01	4.447	5.038	5.095	5.576	5.050	5.139
Jan-02	4.519	4.779	4.786	5.408	4.832	4.914
Feb-02	4.358	4.668	4.602	5.187	4.646	4.726
Mar-02	5.003	4.194	4.214	4.977	4.298	4.367
Apr-02	4.584	4.031	3.927	4.706	4.056	4.094
May-02	4.414	4.131	4.331	5.042	4.301	4.300
Jun-02	4.149	4.424	4.579	5.283	4.536	4.541
Jul-02	3.636	4.483	4.576	5.226	4.529	4.541
Aug-02	3.284	4.419	4.445	5.091	4.434	4.438
Sep-02	2.673	5.115	4.977	5.410	4.936	4.935
Oct-02	2.876	4.608	4.631	5.243	4.667	4.698
Nov-02	3.319	4.358	4.531	5.148	4.543	4.541
Dec-02	2.809	4.140	4.324	5.041	4.391	4.381
Jan-03	3.044	3.619	3.929	4.879	4.069	4.040
Feb-03	2.726	3.153	3.607	4.464	3.688	3.669
Mar-03	2.825	2.534	3.125	3.971	3.152	3.172
Apr-03	2.887	2.793	3.299	4.259	3.379	3.354
May-03	2.351	3.242	3.615	4.440	3.670	3.648
Jun-03	2.501	2.932	3.220	4.105	3.360	3.244
Jul-03	3.362	3.337	3.396	4.245	3.605	3.478
Aug-03	3.513	2.927	3.114	3.959	3.302	3.175
Sep-03	2.880	2.901	3.190	4.082	3.371	3.260
Oct-03	3.296	2.985	3.212	4.102	3.389	3.261
Nov-03	3.387	2.490	2.816	3.563	2.873	2.762
Dec-03	3.264	2.886	2.928	3.683	3.052	2.935

Figure 14d. Observed and Predicted Yields, 6-Month Forecast Horizon: 10-Year Yield

Notes: The figure shows the observed yields for different maturities, together with the 6-month forecast from selected models. See Figure 12 for further details.

Data for Figure 14d

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.850	5.820	5.974	6.514	#N/A	#N/A
Feb-94	6.201	5.376	5.653	6.203	#N/A	#N/A
Mar-94	6.873	5.384	5.598	6.098	#N/A	#N/A
Apr-94	7.148	5.398	5.631	6.109	#N/A	#N/A
May-94	7.234	5.776	6.004	6.526	#N/A	#N/A
Jun-94	7.454	5.787	5.990	6.500	5.843	5.843
Jul-94	7.281	5.658	5.819	6.273	5.679	5.672
Aug-94	7.263	5.971	6.244	6.664	6.052	6.056
Sep-94	7.678	6.840	6.834	7.185	6.692	6.849
Oct-94	7.855	7.106	7.008	7.261	6.897	7.058
Nov-94	7.856	6.987	7.051	7.278	6.884	7.078
Dec-94	7.742	7.268	7.238	7.433	7.077	7.327
Jan-95	7.560	7.064	7.068	7.268	6.904	7.024
Feb-95	7.133	7.090	7.152	7.348	6.982	7.102
Mar-95	7.199	7.577	7.526	7.661	7.370	7.458
Apr-95	7.104	7.719	7.691	7.787	7.529	7.644
May-95	6.329	7.685	7.665	7.618	7.467	7.635
Jun-95	6.281	7.556	7.458	7.261	7.218	7.490
Jul-95	6.544	7.274	7.435	7.413	7.184	7.513
Aug-95	6.318	6.924	7.163	7.238	6.922	7.182
Sep-95	6.202	6.951	7.205	7.296	6.961	7.233
Oct-95	6.043	6.850	7.068	7.207	6.882	7.091
Nov-95	5.718	6.161	6.416	6.638	6.249	6.483
Dec-95	5.564	6.142	6.323	6.514	6.153	6.374
Jan-96	5.605	6.360	6.571	6.821	6.395	6.606
Feb-96	6.108	6.218	6.387	6.581	6.227	6.427
Mar-96	6.323	6.068	6.253	6.425	6.067	6.285
Apr-96	6.634	5.845	6.073	6.278	5.894	6.127
May-96	6.787	5.392	5.869	6.139	5.643	5.917
Jun-96	6.674	5.429	5.618	5.816	5.459	5.690
Jul-96	6.749	5.430	5.734	6.062	5.581	5.809
Aug-96	6.902	6.029	6.200	6.477	6.091	6.256
Sep-96	6.678	6.175	6.417	6.652	6.228	6.411
Oct-96	6.302	6.436	6.634	6.815	6.446	6.607
Nov-96	6.014	6.734	6.821	6.959	6.637	6.774
Dec-96	6.387	6.535	6.652	6.795	6.486	6.635
Jan-97	6.480	6.573	6.711	6.856	6.540	6.697
Feb-97	6.488	6.693	6.887	7.016	6.687	6.838
Mar-97	6.827	6.434	6.657	6.814	6.461	6.628
Apr-97	6.651	6.133	6.344	6.545	6.211	6.380
May-97	6.593	5.921	6.063	6.236	5.926	6.111
Jun-97	6.429	6.284	6.403	6.546	6.252	6.409
Jul-97	5.962	6.322	6.485	6.632	6.314	6.474
Aug-97	6.252	6.349	6.533	6.646	6.350	6.505
Sep-97	6.035	6.700	6.866	6.942	6.667	6.801
Oct-97	5.770	6.403	6.660	6.748	6.430	6.599
Nov-97	5.808	6.331	6.549	6.649	6.321	6.501
Dec-97	5.683	6.255	6.494	6.603	6.239	6.426
Jan-98	5.491	5.750	6.033	6.179	5.820	6.035
Feb-98	5.540	6.168	6.333	6.435	6.118	6.296
Mar-98	5.574	5.905	6.074	6.166	5.863	6.052
Apr-98	5.602	5.570	5.879	5.962	5.643	5.856
May-98	5.461	5.686	5.883	5.904	5.679	5.869
Jun-98	5.346	5.516	5.765	5.834	5.535	5.754
Jul-98	5.419	5.341	5.578	5.684	5.410	5.613
Aug-98	5.047	5.362	5.661	5.750	5.425	5.648
Sep-98	4.443	5.387	5.721	5.801	5.477	5.689
Oct-98	4.668	5.511	5.665	5.697	5.485	5.661
Nov-98	4.664	5.361	5.533	5.549	5.344	5.531
Dec-98	4.599	5.059	5.463	5.507	5.205	5.429
Jan-99	4.624	5.116	5.464	5.526	5.227	5.445
Feb-99	5.253	4.845	5.097	5.216	4.917	5.136
Mar-99	5.231	4.223	4.497	4.524	4.254	4.490
Apr-99	5.361	4.469	4.736	4.893	4.553	4.765
May-99	5.512	4.613	4.837	4.939	4.662	4.856
Jun-99	5.711	4.488	4.773	4.846	4.565	4.765
Jul-99	5.831	4.534	4.789	4.840	4.591	4.774
Aug-99	5.863	5.089	5.370	5.439	5.144	5.315
Sep-99	5.792	5.038	5.420	5.548	5.182	5.358
Oct-99	5.952	5.238	5.444	5.570	5.271	5.428
Nov-99	6.141	5.342	5.694	5.772	5.482	5.631
Dec-99	6.387	5.665	5.811	5.903	5.676	5.800
Jan-00	6.557	5.907	5.985	6.049	5.859	5.952
Feb-00	6.236	5.754	5.999	6.075	5.843	5.968
Mar-00	6.047	5.656	5.929	5.997	5.768	5.891
Apr-00	6.039	5.871	5.988	6.030	5.883	5.989
May-00	6.116	6.022	6.130	6.170	6.032	6.145
Jun-00	5.904	6.319	6.400	6.407	6.293	6.390
Jul-00	5.913	6.501	6.558	6.483	6.425	6.514
Aug-00	5.573	6.205	6.432	6.367	6.279	6.381
Sep-00	5.703	5.946	6.057	5.967	5.967	6.081
Oct-00	5.667	6.036	6.122	5.943	5.991	6.083
Nov-00	5.410	6.050	6.018	5.762	5.889	5.978
Dec-00	5.097	5.858	5.959	5.871	5.867	5.981
Jan-01	5.162	5.775	6.003	5.991	5.898	6.046
Feb-01	4.859	5.507	5.817	5.811	5.715	5.868
Mar-01	4.919	5.685	5.817	5.878	5.786	5.926
Apr-01	5.372	5.721	5.801	5.873	5.796	5.932
May-01	5.436	5.301	5.519	5.623	5.481	5.651
Jun-01	5.477	4.948	5.254	5.440	5.223	5.397
Jul-01	5.166	5.015	5.270	5.545	5.225	5.380
Aug-01	4.844	4.857	5.169	5.451	5.130	5.264
Sep-01	4.682	4.987	5.168	5.460	5.126	5.244
Oct-01	4.367	5.389	5.478	5.815	5.447	5.549
Nov-01	4.911	5.463	5.521	5.873	5.494	5.564
Dec-01	5.206	5.434	5.521	5.873	5.490	5.570
Jan-02	5.205	5.248	5.292	5.736	5.336	5.426
Feb-02	4.930	4.987	5.073	5.506	5.100	5.172
Mar-02	5.460	4.793	4.877	5.424	4.926	4.987
Apr-02	5.193	4.687	4.629	5.197	4.758	4.778
May-02	5.187	4.938	5.001	5.568	5.053	5.096
Jun-02	4.993	5.197	5.262	5.849	5.304	5.347
Jul-02	4.716	5.192	5.194	5.759	5.253	5.299
Aug-02	4.234	5.004	5.064	5.612	5.112	5.150
Sep-02	3.751	5.591	5.506	5.904	5.554	5.555
Oct-02	4.100	5.248	5.265	5.778	5.347	5.359
Nov-02	4.305	5.169	5.176	5.670	5.269	5.282
Dec-02	3.976	5.002	5.042	5.598	5.148	5.166
Jan-03	4.137	4.700	4.785	5.492	4.954	4.994
Feb-03	3.805	4.117	4.376	5.005	4.473	4.499
Mar-03	3.948	3.617	3.907	4.484	3.966	4.031
Apr-03	4.013	3.997	4.223	4.859	4.288	4.314
May-03	3.483	4.214	4.478	5.027	4.481	4.497
Jun-03	3.662	4.049	4.149	4.710	4.233	4.228
Jul-03	4.590	4.359	4.337	4.870	4.458	4.436
Aug-03	4.592	3.945	4.041	4.557	4.132	4.127
Sep-03	4.122	3.982	4.174	4.730	4.253	4.237
Oct-03	4.492	4.058	4.204	4.764	4.301	4.295
Nov-03	4.458	3.558	3.668	4.132	3.733	3.734
Dec-03	4.420	3.954	3.835	4.300	3.933	3.879

Figure 15a. Observed and Predicted Yields, 12-Month Forecast Horizon: 3-Month Yield

Data for Figure 15a

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	3.016	3.896	3.490	5.005	#N/A	#N/A
Feb-94	3.431	3.206	3.381	4.888	#N/A	#N/A
Mar-94	3.536	2.740	3.372	4.871	#N/A	#N/A
Apr-94	3.945	2.585	3.336	4.906	#N/A	#N/A
May-94	4.270	2.950	3.473	4.872	#N/A	#N/A
Jun-94	4.223	3.170	3.392	4.641	#N/A	#N/A
Jul-94	4.353	3.332	3.397	4.591	#N/A	#N/A
Aug-94	4.644	3.141	3.339	4.461	#N/A	#N/A
Sep-94	4.776	3.108	3.272	4.344	#N/A	#N/A
Oct-94	5.138	3.207	3.346	4.382	#N/A	#N/A
Nov-94	5.665	3.143	3.481	4.645	#N/A	#N/A
Dec-94	5.662	3.071	3.409	4.579	3.038	2.912
Jan-95	5.932	3.205	3.328	4.408	2.990	2.855
Feb-95	5.868	3.518	3.665	4.726	3.346	3.240
Mar-95	5.823	4.135	3.901	4.990	3.901	3.927
Apr-95	5.809	4.493	4.221	5.151	4.194	4.203
May-95	5.742	4.257	4.422	5.279	4.182	4.110
Jun-95	5.551	4.359	4.421	5.315	4.277	4.217
Jul-95	5.527	4.345	4.518	5.335	4.252	4.152
Aug-95	5.398	4.669	4.802	5.523	4.530	4.428
Sep-95	5.353	4.972	5.002	5.706	4.833	4.833
Oct-95	5.421	5.146	5.186	5.843	5.024	5.024
Nov-95	5.424	5.562	5.691	5.988	5.271	5.364
Dec-95	5.059	5.472	5.616	5.750	5.078	5.319
Jan-96	5.000	5.380	5.870	6.051	5.095	5.337
Feb-96	4.982	5.434	5.780	5.996	5.060	5.286
Mar-96	5.099	5.241	5.850	6.074	4.983	5.305
Apr-96	5.100	5.245	5.803	6.043	4.897	5.150
May-96	5.138	5.347	5.658	5.800	4.760	5.015
Jun-96	5.144	5.271	5.428	5.604	4.616	4.872
Jul-96	5.279	5.070	5.469	5.771	4.580	4.838
Aug-96	5.249	5.187	5.396	5.603	4.612	4.945
Sep-96	5.057	5.103	5.373	5.513	4.501	4.862
Oct-96	5.116	4.980	5.281	5.423	4.395	4.776
Nov-96	5.098	4.582	5.325	5.440	4.190	4.664
Dec-96	5.120	4.827	4.863	4.995	4.067	4.481
Jan-97	5.125	4.605	4.927	5.210	4.044	4.453
Feb-97	5.196	4.688	5.008	5.384	4.325	4.671
Mar-97	5.286	4.752	5.159	5.496	4.376	4.744
Apr-97	5.256	4.630	5.060	5.470	4.378	4.740
May-97	5.140	5.091	5.201	5.564	4.690	4.985
Jun-97	5.194	4.896	5.112	5.460	4.596	4.905
Jul-97	5.203	4.973	5.267	5.566	4.725	5.031
Aug-97	5.185	4.919	5.290	5.635	4.719	5.028
Sep-97	5.020	4.643	5.129	5.487	4.500	4.795
Oct-97	5.173	4.840	5.110	5.396	4.522	4.840
Nov-97	5.257	5.034	5.086	5.243	4.546	4.825
Dec-97	5.307	4.989	5.101	5.354	4.652	4.909
Jan-98	5.158	4.877	5.136	5.416	4.645	4.841
Feb-98	5.274	5.025	5.214	5.433	4.746	5.027
Mar-98	5.134	5.197	5.369	5.611	4.942	5.204
Apr-98	4.946	4.849	5.231	5.477	4.643	4.962
May-98	4.997	4.739	5.093	5.357	4.496	4.735
Jun-98	5.012	4.968	5.171	5.395	4.550	4.777
Jul-98	5.049	4.804	5.168	5.243	4.410	4.777
Aug-98	4.846	5.152	5.185	5.323	4.657	4.957
Sep-98	4.302	4.878	4.989	5.100	4.413	4.744
Oct-98	4.323	4.799	5.063	5.071	4.395	4.723
Nov-98	4.490	5.096	5.169	5.064	4.588	4.946
Dec-98	4.435	5.082	5.222	5.087	4.582	4.905
Jan-99	4.437	5.043	5.098	4.989	4.515	4.937
Feb-99	4.642	5.077	5.188	5.042	4.518	4.846
Mar-99	4.453	4.894	5.167	5.043	4.462	4.908
Apr-99	4.518	4.967	4.943	4.842	4.444	4.863
May-99	4.620	4.942	4.910	4.745	4.437	4.865
Jun-99	4.734	4.435	5.015	4.810	4.198	4.687
Jul-99	4.713	4.409	4.941	4.776	4.165	4.659
Aug-99	4.906	4.416	4.786	4.610	4.045	4.517
Sep-99	4.807	3.976	4.248	3.957	3.497	4.010
Oct-99	5.045	4.083	4.223	4.179	3.577	4.034
Nov-99	5.249	4.574	4.516	4.319	3.953	4.380
Dec-99	5.327	4.332	4.455	4.216	3.797	4.255
Jan-00	5.663	4.378	4.447	4.209	3.807	4.246
Feb-00	5.735	4.327	4.623	4.562	4.021	4.348
Mar-00	5.827	4.183	4.539	4.599	3.951	4.249
Apr-00	5.800	4.412	4.561	4.605	4.099	4.441
May-00	5.575	4.275	4.616	4.682	4.146	4.226
Jun-00	5.839	4.766	4.747	4.803	4.466	4.625
Jul-00	6.194	5.133	4.750	4.842	4.683	4.832
Aug-00	6.256	4.845	4.879	4.930	4.645	4.711
Sep-00	6.166	4.706	4.801	4.865	4.531	4.636
Oct-00	6.308	4.953	4.896	4.908	4.747	4.838
Nov-00	6.162	5.075	5.209	5.151	4.961	5.137
Dec-00	5.849	5.329	5.392	5.346	5.180	5.358
Jan-01	4.966	5.649	5.660	5.473	5.458	5.654
Feb-01	4.833	5.742	5.747	5.473	5.550	5.745
Mar-01	4.266	5.562	5.904	5.379	5.462	5.721
Apr-01	3.853	5.719	5.760	5.223	5.516	5.738
May-01	3.605	5.587	5.409	4.902	5.271	5.504
Jun-01	3.628	5.725	5.852	5.302	5.473	5.784
Jul-01	3.521	5.670	6.145	5.590	5.542	5.891
Aug-01	3.335	5.871	6.175	5.552	5.611	6.013
Sep-01	2.349	5.867	6.032	5.540	5.518	5.944
Oct-01	2.027	6.084	6.201	5.653	5.720	6.097
Nov-01	1.782	5.509	6.025	5.495	5.350	5.750
Dec-01	1.698	5.112	5.667	5.263	4.970	5.425
Jan-02	1.759	4.394	4.833	4.876	4.264	4.599
Feb-02	1.757	4.509	4.821	4.849	4.289	4.681
Mar-02	1.785	4.248	4.331	4.572	3.948	4.300
Apr-02	1.749	3.913	3.939	4.500	3.690	4.028
May-02	1.722	3.659	3.674	4.363	3.444	3.755
Jun-02	1.689	3.395	3.671	4.373	3.345	3.693
Jul-02	1.693	3.583	3.652	4.373	3.352	3.664
Aug-02	1.667	3.588	3.468	4.152	3.241	3.542
Sep-02	1.543	2.675	2.635	3.706	2.536	2.792
Oct-02	1.436	2.961	2.359	3.453	2.546	2.681
Nov-02	1.219	2.069	2.130	3.398	2.052	2.282
Dec-02	1.187	1.858	2.077	3.426	1.988	2.226
Jan-03	1.169	1.870	2.135	3.419	2.001	2.295
Feb-03	1.205	2.180	2.150	3.366	2.148	2.382
Mar-03	1.104	2.458	2.262	3.417	2.495	2.661
Apr-03	1.111	2.165	2.177	3.388	2.365	2.500
May-03	1.110	1.942	2.146	3.342	2.304	2.440
Jun-03	0.876	2.118	2.086	3.312	2.323	2.435
Jul-03	0.940	2.110	2.063	3.397	2.296	2.397
Aug-03	0.988	1.753	2.008	3.158	2.046	2.166
Sep-03	0.928	1.621	1.883	2.883	1.821	1.934
Oct-03	0.937	1.686	1.799	3.027	1.860	1.963
Nov-03	0.926	1.474	1.667	2.904	1.763	1.883
Dec-03	0.928	1.921	1.617	2.798	1.908	1.969

Figure 15b. Observed and Predicted Yields, 12-Month Forecast Horizon: 2-Year Yield

Data for Figure 15b

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	4.079	4.713	4.740	6.448	#N/A	#N/A
Feb-94	4.639	3.872	4.448	6.237	#N/A	#N/A
Mar-94	5.170	3.593	4.415	6.214	#N/A	#N/A
Apr-94	5.680	3.315	4.289	6.240	#N/A	#N/A
May-94	5.928	3.870	4.511	6.165	#N/A	#N/A
Jun-94	6.087	3.886	4.307	5.837	#N/A	#N/A
Jul-94	5.907	4.073	4.377	5.789	#N/A	#N/A
Aug-94	6.086	3.705	4.136	5.568	#N/A	#N/A
Sep-94	6.497	3.764	4.123	5.457	#N/A	#N/A
Oct-94	6.732	3.831	4.187	5.477	#N/A	#N/A
Nov-94	7.263	3.956	4.398	5.807	#N/A	#N/A
Dec-94	7.503	4.014	4.388	5.761	4.067	4.014
Jan-95	7.126	4.032	4.291	5.564	3.971	4.032
Feb-95	6.668	4.497	4.767	5.909	4.406	4.497
Mar-95	6.672	5.378	5.285	6.291	5.110	5.378
Apr-95	6.469	5.826	5.685	6.407	5.451	5.498
May-95	5.780	5.659	5.843	6.478	5.432	5.498
Jun-95	5.708	5.913	5.978	6.571	5.607	5.670
Jul-95	5.792	5.679	5.826	6.499	5.452	5.479
Aug-95	5.756	5.914	5.974	6.626	5.655	5.685
Sep-95	5.725	6.422	6.384	6.866	6.100	6.129
Oct-95	5.533	6.547	6.581	6.993	6.263	6.433
Nov-95	5.273	6.972	7.001	6.987	6.467	6.645
Dec-95	5.088	7.126	7.116	6.713	6.383	6.637
Jan-96	4.870	6.560	6.848	6.919	6.172	6.559
Feb-96	5.363	6.248	6.477	6.804	5.927	6.331
Mar-96	5.691	6.144	6.463	6.868	5.884	6.312
Apr-96	5.940	5.966	6.305	6.808	5.742	6.193
May-96	6.161	5.493	5.733	6.409	5.258	5.798
Jun-96	6.013	5.495	5.635	6.253	5.149	5.647
Jul-96	6.117	5.429	5.732	6.483	5.237	5.724
Aug-96	6.231	5.572	5.683	6.285	5.215	5.716
Sep-96	6.008	5.499	5.643	6.162	5.130	5.648
Oct-96	5.668	5.191	5.490	6.044	4.922	5.479
Nov-96	5.508	4.674	5.250	5.978	4.613	5.251
Dec-96	5.790	4.930	5.092	5.603	4.522	5.089
Jan-97	5.839	4.607	4.954	5.826	4.441	5.023
Feb-97	6.008	5.192	5.329	6.118	4.971	5.436
Mar-97	6.335	5.377	5.602	6.258	5.114	5.586
Apr-97	6.193	5.499	5.795	6.328	5.269	5.712
May-97	6.117	6.001	6.014	6.444	5.608	5.964
Jun-97	5.991	5.725	5.892	6.314	5.442	5.833
Jul-97	5.660	5.780	6.009	6.394	5.552	5.935
Aug-97	5.874	5.839	6.099	6.505	5.624	6.003
Sep-97	5.712	5.563	5.878	6.335	5.388	5.800
Oct-97	5.567	5.401	5.624	6.156	5.207	5.632
Nov-97	5.711	5.419	5.477	5.928	5.102	5.460
Dec-97	5.578	5.618	5.720	6.136	5.342	5.726
Jan-98	5.263	5.576	5.743	6.207	5.377	5.677
Feb-98	5.469	5.767	5.871	6.222	5.480	5.799
Mar-98	5.503	6.106	6.186	6.455	5.783	6.069
Apr-98	5.509	5.725	6.023	6.295	5.486	5.876
May-98	5.465	5.635	5.953	6.190	5.363	5.746
Jun-98	5.404	5.671	5.851	6.183	5.349	5.770
Jul-98	5.418	5.271	5.548	5.897	4.985	5.479
Aug-98	4.814	5.719	5.798	6.065	5.338	5.747
Sep-98	4.277	5.480	5.619	5.824	5.103	5.542
Oct-98	4.167	5.212	5.452	5.705	4.937	5.373
Nov-98	4.478	5.504	5.584	5.672	5.107	5.537
Dec-98	4.519	5.329	5.492	5.646	4.994	5.427
Jan-99	4.531	5.129	5.245	5.520	4.817	5.238
Feb-99	5.097	5.226	5.399	5.579	4.882	5.277
Mar-99	4.938	5.219	5.419	5.605	4.906	5.351
Apr-99	5.011	5.413	5.427	5.457	4.964	5.404
May-99	5.354	5.335	5.401	5.335	4.903	5.349
Jun-99	5.456	4.884	5.314	5.342	4.672	5.138
Jul-99	5.559	4.867	5.335	5.336	4.670	5.140
Aug-99	5.650	4.524	4.886	5.094	4.339	4.776
Sep-99	5.550	4.016	4.387	4.416	3.729	4.090
Oct-99	5.723	3.991	4.375	4.720	3.821	4.238
Nov-99	5.931	4.538	4.604	4.807	4.152	4.465
Dec-99	6.148	4.436	4.595	4.708	4.075	4.448
Jan-00	6.506	4.475	4.562	4.701	4.090	4.448
Feb-00	6.441	4.788	5.043	5.184	4.536	4.831
Mar-00	6.390	4.648	4.925	5.257	4.492	4.759
Apr-00	6.567	4.852	5.002	5.270	4.621	4.921
May-00	6.597	5.018	5.271	5.411	4.836	5.106
Jun-00	6.280	5.392	5.416	5.535	5.105	5.348
Jul-00	6.204	5.756	5.534	5.628	5.349	5.567
Aug-00	6.087	5.487	5.637	5.683	5.300	5.517
Sep-00	5.885	5.373	5.526	5.613	5.203	5.455
Oct-00	5.824	5.597	5.683	5.650	5.394	5.666
Nov-00	5.548	5.723	5.860	5.836	5.572	5.835
Dec-00	5.051	6.030	6.070	6.048	5.837	6.081
Jan-01	4.567	6.361	6.342	6.147	6.096	6.401
Feb-01	4.386	6.351	6.310	6.089	6.094	6.443
Mar-01	4.186	6.142	6.204	5.842	5.901	6.337
Apr-01	4.278	6.440	6.349	5.760	6.052	6.531
May-01	4.213	6.414	6.343	5.522	5.929	6.536
Jun-01	4.233	6.166	6.183	5.760	5.852	6.293
Jul-01	3.774	5.868	6.163	5.956	5.774	6.175
Aug-01	3.609	5.910	6.026	5.846	5.729	6.101
Sep-01	2.822	5.818	5.933	5.874	5.637	6.045
Oct-01	2.370	5.863	5.917	5.923	5.700	5.947
Nov-01	2.840	5.298	5.604	5.719	5.302	5.594
Dec-01	3.066	4.789	5.185	5.513	4.891	5.134
Jan-02	3.153	4.366	4.732	5.382	4.487	4.691
Feb-02	3.044	4.431	4.588	5.317	4.460	4.591
Mar-02	3.674	4.391	4.392	5.191	4.308	4.441
Apr-02	3.216	4.431	4.489	5.339	4.363	4.666
May-02	3.187	4.356	4.395	5.303	4.266	4.557
Jun-02	2.875	4.176	4.419	5.306	4.203	4.527
Jul-02	2.223	4.055	4.090	5.231	4.063	4.356
Aug-02	2.109	4.007	3.955	5.007	3.924	4.105
Sep-02	1.681	3.249	3.348	4.749	3.403	3.645
Oct-02	1.665	3.377	3.007	4.505	3.327	3.462
Nov-02	2.039	3.212	3.259	4.672	3.294	3.508
Dec-02	1.582	3.292	3.421	4.825	3.420	3.634
Jan-03	1.691	3.330	3.478	4.776	3.420	3.644
Feb-03	1.510	3.448	3.401	4.674	3.438	3.621
Mar-03	1.486	4.149	3.912	4.851	3.979	4.090
Apr-03	1.477	3.602	3.547	4.767	3.692	3.817
May-03	1.317	3.430	3.466	4.689	3.646	3.765
Jun-03	1.299	3.287	3.255	4.631	3.529	3.631
Jul-03	1.738	2.675	2.875	4.599	3.186	3.167
Aug-03	1.961	2.328	2.684	4.237	2.882	3.010
Sep-03	1.462	1.913	2.299	3.827	2.444	2.446
Oct-03	1.821	1.971	2.338	4.076	2.540	2.411
Nov-03	2.034	2.295	2.587	4.115	2.749	2.622
Dec-03	1.839	2.281	2.259	3.884	2.618	2.481

Figure 15c. Observed and Predicted Yields, 12-Month Forecast Horizon: 5-Year Yield

Data for Figure 15c

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.018	5.683	5.974	7.323	#N/A	#N/A
Feb-94	5.587	4.907	5.660	7.059	#N/A	#N/A
Mar-94	6.206	4.719	5.648	7.036	#N/A	#N/A
Apr-94	6.592	4.503	5.577	7.076	#N/A	#N/A
May-94	6.723	4.879	5.692	6.953	#N/A	#N/A
Jun-94	6.921	4.710	5.379	6.559	#N/A	#N/A
Jul-94	6.672	4.842	5.410	6.507	#N/A	#N/A
Aug-94	6.754	4.381	5.117	6.233	#N/A	#N/A
Sep-94	7.218	4.405	5.083	6.121	#N/A	#N/A
Oct-94	7.412	4.425	5.122	6.129	#N/A	#N/A
Nov-94	7.673	4.729	5.412	6.512	#N/A	#N/A
Dec-94	7.674	4.818	5.401	6.478	5.010	4.818
Jan-95	7.419	4.726	5.256	6.261	4.885	4.726
Feb-95	6.961	5.240	5.715	6.614	5.334	5.240
Mar-95	6.973	6.122	6.277	7.063	6.039	6.122
Apr-95	6.767	6.484	6.557	7.131	6.289	6.484
May-95	5.993	6.338	6.665	7.156	6.283	6.338
Jun-95	5.894	6.618	6.828	7.282	6.447	6.757
Jul-95	6.076	6.349	6.634	7.158	6.268	6.334
Aug-95	5.985	6.500	6.727	7.249	6.402	6.518
Sep-95	5.912	7.049	7.128	7.515	6.828	6.999
Oct-95	5.726	7.199	7.309	7.631	6.985	7.179
Nov-95	5.456	7.392	7.486	7.497	7.048	7.298
Dec-95	5.307	7.365	7.458	7.157	6.865	7.139
Jan-96	5.190	6.964	7.257	7.349	6.731	7.075
Feb-96	5.667	6.621	6.895	7.217	6.478	6.850
Mar-96	6.043	6.566	6.906	7.277	6.464	6.855
Apr-96	6.320	6.350	6.758	7.206	6.313	6.731
May-96	6.562	5.726	6.105	6.724	5.775	6.251
Jun-96	6.379	5.664	6.032	6.589	5.674	6.133
Jul-96	6.493	5.747	6.210	6.868	5.837	6.286
Aug-96	6.636	5.782	6.090	6.641	5.773	6.196
Sep-96	6.386	5.664	6.006	6.494	5.622	6.074
Oct-96	6.007	5.385	5.837	6.361	5.421	5.910
Nov-96	5.756	4.940	5.604	6.256	5.150	5.702
Dec-96	6.143	5.072	5.434	5.911	5.032	5.519
Jan-97	6.182	4.883	5.402	6.167	5.052	5.541
Feb-97	6.318	5.512	5.861	6.526	5.598	5.971
Mar-97	6.674	5.737	6.105	6.675	5.748	6.132
Apr-97	6.492	5.942	6.344	6.793	5.940	6.287
May-97	6.412	6.373	6.535	6.919	6.212	6.500
Jun-97	6.308	6.107	6.390	6.770	6.041	6.354
Jul-97	5.832	6.175	6.466	6.833	6.118	6.434
Aug-97	6.130	6.268	6.605	6.971	6.225	6.535
Sep-97	5.911	5.985	6.378	6.789	5.992	6.330
Oct-97	5.633	5.731	6.064	6.564	5.775	6.127
Nov-97	5.759	5.594	5.832	6.285	5.571	5.934
Dec-97	5.632	5.951	6.144	6.552	5.879	6.197
Jan-98	5.310	5.932	6.198	6.631	5.921	6.239
Feb-98	5.512	6.080	6.280	6.638	5.979	6.296
Mar-98	5.544	6.432	6.618	6.899	6.300	6.577
Apr-98	5.562	6.073	6.435	6.721	6.015	6.305
May-98	5.485	5.961	6.353	6.622	5.887	6.249
Jun-98	5.385	5.961	6.250	6.595	5.831	6.194
Jul-98	5.467	5.448	5.842	6.228	5.443	5.793
Aug-98	4.865	5.898	6.126	6.445	5.744	6.044
Sep-98	4.347	5.635	5.917	6.188	5.512	5.824
Oct-98	4.480	5.287	5.710	6.016	5.303	5.644
Nov-98	4.562	5.524	5.768	5.957	5.397	5.712
Dec-98	4.591	5.340	5.643	5.907	5.270	5.613
Jan-99	4.527	5.068	5.420	5.774	5.090	5.428
Feb-99	5.206	5.178	5.539	5.829	5.138	5.492
Mar-99	5.169	5.198	5.590	5.871	5.178	5.518
Apr-99	5.266	5.355	5.597	5.745	5.215	5.512
May-99	5.640	5.270	5.521	5.601	5.128	5.428
Jun-99	5.759	4.911	5.428	5.578	4.925	5.283
Jul-99	5.922	4.973	5.460	5.586	4.953	5.287
Aug-99	5.968	4.561	5.029	5.314	4.625	4.970
Sep-99	5.879	4.021	4.491	4.614	3.970	4.336
Oct-99	6.045	4.174	4.608	4.986	4.203	4.543
Nov-99	6.143	4.446	4.754	5.035	4.380	4.694
Dec-99	6.390	4.384	4.739	4.932	4.321	4.633
Jan-00	6.660	4.346	4.722	4.925	4.339	4.611
Feb-00	6.569	4.889	5.279	5.484	4.850	5.107
Mar-00	6.253	4.827	5.241	5.592	4.868	5.081
Apr-00	6.456	5.023	5.294	5.608	4.977	5.204
May-00	6.453	5.332	5.596	5.776	5.258	5.437
Jun-00	6.158	5.620	5.708	5.903	5.486	5.598
Jul-00	6.134	5.945	5.854	6.030	5.714	5.785
Aug-00	5.932	5.747	5.919	6.059	5.672	5.768
Sep-00	5.797	5.653	5.833	5.986	5.615	5.747
Oct-00	5.706	5.897	5.951	6.012	5.731	5.886
Nov-00	5.389	5.953	6.086	6.164	5.860	6.053
Dec-00	4.989	6.257	6.315	6.386	6.129	6.323
Jan-01	4.847	6.532	6.521	6.457	6.318	6.464
Feb-01	4.699	6.485	6.430	6.361	6.285	6.432
Mar-01	4.620	6.130	6.172	6.010	5.976	6.164
Apr-01	4.938	6.455	6.312	5.955	6.104	6.237
May-01	4.977	6.345	6.295	5.743	5.948	6.096
Jun-01	5.067	6.109	6.118	5.918	5.932	6.105
Jul-01	4.671	5.955	6.094	6.071	5.888	6.122
Aug-01	4.497	5.855	5.917	5.919	5.791	6.026
Sep-01	4.055	5.786	5.886	5.980	5.760	5.990
Oct-01	3.675	5.792	5.836	5.996	5.772	6.002
Nov-01	4.103	5.288	5.549	5.768	5.413	5.685
Dec-01	4.447	4.871	5.216	5.593	5.092	5.379
Jan-02	4.519	4.743	5.059	5.641	4.933	5.169
Feb-02	4.358	4.803	4.926	5.562	4.922	5.086
Mar-02	5.003	4.816	4.863	5.533	4.856	5.019
Apr-02	4.584	5.024	5.128	5.819	5.047	5.231
May-02	4.414	5.058	5.136	5.848	5.040	5.209
Jun-02	4.149	5.027	5.168	5.845	5.039	5.221
Jul-02	3.636	4.843	4.853	5.749	4.913	5.074
Aug-02	3.284	4.717	4.681	5.521	4.735	4.889
Sep-02	2.673	4.275	4.324	5.409	4.430	4.557
Oct-02	2.876	4.284	4.028	5.192	4.344	4.385
Nov-02	3.319	4.220	4.419	5.478	4.435	4.470
Dec-02	2.809	4.447	4.656	5.709	4.634	4.664
Jan-03	3.044	4.478	4.655	5.627	4.613	4.719
Feb-03	2.726	4.439	4.524	5.498	4.567	4.588
Mar-03	2.825	5.121	5.029	5.722	5.039	5.037
Apr-03	2.887	4.663	4.707	5.632	4.834	4.820
May-03	2.351	4.425	4.620	5.534	4.706	4.702
Jun-03	2.501	4.233	4.415	5.480	4.589	4.571
Jul-03	3.362	3.709	4.046	5.425	4.298	4.267
Aug-03	3.513	3.240	3.751	4.975	3.897	3.880
Sep-03	2.880	2.631	3.301	4.495	3.369	3.355
Oct-03	3.296	2.870	3.459	4.838	3.568	3.550
Nov-03	3.387	3.342	3.759	4.944	3.827	3.814
Dec-03	3.264	3.142	3.381	4.671	3.616	3.594

Figure 15d. Observed and Predicted Yields, 12-Month Forecast Horizon: 10-Year Yield

Notes: The figure shows the observed yields for different maturities, together with the 12-month forecast from selected models. See Figure 12 for further details.

Data for Figure 15d

Month	Observed	AR-X	VAR-X	NS2-AR	FC-MSPE-X	FC-MCS-MSPE
Jan-94	5.850	6.667	6.819	7.726	#N/A	#N/A
Feb-94	6.201	5.850	6.459	7.440	#N/A	#N/A
Mar-94	6.873	5.732	6.433	7.419	#N/A	#N/A
Apr-94	7.148	5.674	6.407	7.473	#N/A	#N/A
May-94	7.234	5.876	6.426	7.317	#N/A	#N/A
Jun-94	7.454	5.604	6.067	6.891	#N/A	#N/A
Jul-94	7.281	5.625	6.068	6.834	#N/A	#N/A
Aug-94	7.263	5.143	5.763	6.538	#N/A	#N/A
Sep-94	7.678	5.154	5.712	6.424	#N/A	#N/A
Oct-94	7.855	5.162	5.742	6.426	#N/A	#N/A
Nov-94	7.856	5.553	6.086	6.838	#N/A	#N/A
Dec-94	7.742	5.572	6.071	6.810	5.687	5.572
Jan-95	7.560	5.465	5.911	6.582	5.542	5.465
Feb-95	7.133	5.779	6.312	6.933	5.896	5.779
Mar-95	7.199	6.712	6.887	7.412	6.570	6.712
Apr-95	7.104	6.966	7.058	7.448	6.760	6.703
May-95	6.329	6.809	7.090	7.447	6.715	6.695
Jun-95	6.281	7.101	7.271	7.589	6.905	6.965
Jul-95	6.544	6.898	7.098	7.442	6.747	6.822
Aug-95	6.318	6.949	7.176	7.516	6.851	6.988
Sep-95	6.202	7.451	7.540	7.791	7.229	7.430
Oct-95	6.043	7.591	7.694	7.900	7.385	7.692
Nov-95	5.718	7.544	7.668	7.691	7.314	7.654
Dec-95	5.564	7.403	7.462	7.301	7.055	7.525
Jan-96	5.605	7.080	7.429	7.505	7.009	7.561
Feb-96	6.108	6.738	7.160	7.373	6.779	7.346
Mar-96	6.323	6.750	7.196	7.434	6.806	7.391
Apr-96	6.634	6.652	7.066	7.361	6.736	7.292
May-96	6.787	5.990	6.441	6.846	6.164	6.787
Jun-96	6.674	5.983	6.357	6.718	6.080	6.682
Jul-96	6.749	6.168	6.592	7.026	6.288	6.880
Aug-96	6.902	6.053	6.421	6.781	6.142	6.721
Sep-96	6.678	5.897	6.296	6.620	5.986	6.460
Oct-96	6.302	5.648	6.123	6.482	5.808	6.245
Nov-96	6.014	5.157	5.922	6.364	5.543	6.052
Dec-96	6.387	5.263	5.697	6.027	5.393	5.843
Jan-97	6.480	5.236	5.803	6.310	5.509	5.944
Feb-97	6.488	5.917	6.246	6.697	6.053	6.372
Mar-97	6.827	5.997	6.457	6.846	6.131	6.476
Apr-97	6.651	6.250	6.664	6.983	6.328	6.637
May-97	6.593	6.581	6.852	7.113	6.536	6.802
Jun-97	6.429	6.378	6.686	6.954	6.387	6.673
Jul-97	5.962	6.414	6.742	7.009	6.439	6.730
Aug-97	6.252	6.523	6.912	7.160	6.566	6.847
Sep-97	6.035	6.261	6.685	6.973	6.341	6.650
Oct-97	5.770	5.988	6.384	6.730	6.129	6.448
Nov-97	5.808	5.798	6.120	6.425	5.877	6.186
Dec-97	5.683	6.153	6.442	6.717	6.180	6.479
Jan-98	5.491	6.194	6.518	6.802	6.238	6.522
Feb-98	5.540	6.216	6.563	6.802	6.268	6.528
Mar-98	5.574	6.566	6.887	7.074	6.569	6.830
Apr-98	5.602	6.218	6.682	6.886	6.293	6.651
May-98	5.461	6.131	6.575	6.788	6.177	6.556
Jun-98	5.346	6.065	6.526	6.755	6.105	6.419
Jul-98	5.419	5.551	6.081	6.351	5.708	6.008
Aug-98	5.047	5.991	6.375	6.590	6.009	6.262
Sep-98	4.443	5.726	6.126	6.323	5.752	6.041
Oct-98	4.668	5.384	5.935	6.127	5.546	5.859
Nov-98	4.664	5.525	5.940	6.052	5.591	5.880
Dec-98	4.599	5.336	5.827	5.993	5.445	5.766
Jan-99	4.624	5.185	5.655	5.861	5.349	5.647
Feb-99	5.253	5.160	5.734	5.912	5.323	5.650
Mar-99	5.231	5.195	5.790	5.960	5.377	5.685
Apr-99	5.361	5.364	5.742	5.841	5.411	5.675
May-99	5.512	5.215	5.616	5.683	5.276	5.549
Jun-99	5.711	4.849	5.537	5.648	5.088	5.382
Jul-99	5.831	4.917	5.534	5.663	5.113	5.426
Aug-99	5.863	4.690	5.189	5.384	4.852	5.155
Sep-99	5.792	4.019	4.625	4.670	4.155	4.480
Oct-99	5.952	4.284	4.850	5.083	4.474	4.768
Nov-99	6.141	4.471	4.955	5.110	4.616	4.881
Dec-99	6.387	4.340	4.895	5.002	4.510	4.778
Jan-00	6.557	4.385	4.912	4.996	4.539	4.767
Feb-00	6.236	4.917	5.449	5.588	5.050	5.264
Mar-00	6.047	4.872	5.497	5.718	5.091	5.307
Apr-00	6.039	5.095	5.523	5.734	5.196	5.388
May-00	6.116	5.230	5.755	5.911	5.413	5.613
Jun-00	5.904	5.575	5.873	6.040	5.631	5.783
Jul-00	5.913	5.853	6.047	6.182	5.836	5.951
Aug-00	5.573	5.651	6.055	6.197	5.783	5.939
Sep-00	5.703	5.578	5.984	6.124	5.723	5.872
Oct-00	5.667	5.819	6.038	6.141	5.857	5.987
Nov-00	5.410	5.950	6.171	6.277	5.996	6.137
Dec-00	5.097	6.247	6.432	6.504	6.250	6.378
Jan-01	5.162	6.432	6.582	6.556	6.378	6.519
Feb-01	4.859	6.184	6.459	6.443	6.267	6.414
Mar-01	4.919	5.930	6.088	6.039	5.973	6.139
Apr-01	5.372	6.065	6.145	5.988	6.014	6.147
May-01	5.436	6.018	6.048	5.777	5.858	6.007
Jun-01	5.477	5.856	5.991	5.938	5.885	6.050
Jul-01	5.166	5.724	6.021	6.077	5.884	6.098
Aug-01	4.844	5.502	5.847	5.907	5.748	5.954
Sep-01	4.682	5.675	5.852	5.986	5.816	6.013
Oct-01	4.367	5.714	5.836	5.989	5.843	6.035
Nov-01	4.911	5.273	5.559	5.752	5.516	5.745
Dec-01	5.206	4.929	5.301	5.598	5.264	5.495
Jan-02	5.205	5.002	5.312	5.739	5.244	5.442
Feb-02	4.930	4.910	5.219	5.658	5.205	5.367
Mar-02	5.460	5.046	5.221	5.677	5.197	5.343
Apr-02	5.193	5.401	5.523	6.027	5.463	5.589
May-02	5.187	5.473	5.568	6.088	5.502	5.606
Jun-02	4.993	5.423	5.566	6.081	5.484	5.599
Jul-02	4.716	5.306	5.356	5.987	5.409	5.512
Aug-02	4.234	5.034	5.157	5.757	5.176	5.288
Sep-02	3.751	4.853	4.971	5.726	5.012	5.098
Oct-02	4.100	4.910	4.756	5.531	4.983	4.997
Nov-02	4.305	5.012	5.113	5.865	5.128	5.169
Dec-02	3.976	5.213	5.364	6.133	5.334	5.375
Jan-03	4.137	5.184	5.302	6.032	5.275	5.320
Feb-03	3.805	5.017	5.188	5.892	5.158	5.203
Mar-03	3.948	5.594	5.620	6.124	5.588	5.577
Apr-03	4.013	5.287	5.386	6.043	5.416	5.418
May-03	3.483	5.210	5.294	5.936	5.347	5.301
Jun-03	3.662	5.056	5.167	5.893	5.250	5.255
Jul-03	4.590	4.733	4.915	5.850	5.059	5.109
Aug-03	4.592	4.154	4.518	5.353	4.593	4.668
Sep-03	4.122	3.659	4.074	4.845	4.100	4.137
Oct-03	4.492	4.005	4.359	5.246	4.380	4.465
Nov-03	4.458	4.257	4.591	5.368	4.556	4.563
Dec-03	4.420	4.179	4.286	5.090	4.388	4.371

Footnotes

1.  We thank Torben Andersen, Martin Martens, Dagfinn Rime, and Daniel Thornton for helpful discussions and for providing detailed comments, as well as seminar participants at the Catholic University Leuven, Erasmus University Rotterdam, Federal Reserve Bank of New York, Federal Reserve Board, Norges Bank, the 2008 Infinity Conference, and the 27th International Symposium on Forecasting. The views expressed in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other employee of the Federal Reserve System, nor do they reflect the views of Norges Bank (the Central Bank of Norway). This paper is best viewed in color. An earlier draft of this paper circulated under the name "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information" which is available as a Tinbergen Institute Discussion Paper (07-028/4). Return to text

2.  Corresponding author; De Pooter is a staff economist in the Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551, U.SA., Tel.: (202) 452-2264, fax: (202) 452-6424. E-mail addresses: [email protected] (M. De Pooter), [email protected] (F. Ravazzolo), [email protected] (D. van Dijk). Return to text

3.  Macro variables, however, mainly seem to help in capturing the dynamics of short and medium-term rates. Modelling long-term yields remains difficult. DaiPhilippon2006 show that fiscal policy can account for some of the unexplained long rate dynamics whereas DeWachterLyrio2006 show that long-run inflation expectations are important for modelling long-term bond yields. Return to text

4.  See also Bansal and Zhou (2002), Dai, Singleton, and Yang (2007), and the references contained therein. Return to text

5.  We kindly thank Robert Bliss for providing us with the unsmoothed Fama-Bliss forward rates and the programs to construct the spot rates. Return to text

6.  Using contemporaneous information may exaggerate the benefits of using macroeconomic information when forecasting yields. Note, however, that we would only be able to fully mimic the information available to the econometrician at the time of making any forecast if we would use vintage data. Croushore2006 discusses the use of vintage data and shows that data revisions can lead to an improvement in perceived forecastability. Here we use only revised final-vintage macroeconomic series, implying that this may affect our results as well. Return to text

7.  As a robustness check we also examined using additional factors, but the forecasting results were very similar. With fewer factors (one or two) we obtained worse results. Note that we made a somewhat ad hoc choice for the number of factors, based solely on how much of the variance each factor explains in the cross section of macro series. An alternative, and arguably better approach, would be to select the number, as well as which factors, by using information criteria or by selecting only factors that are judged to have predictive power for interest rates. Although certainly interesting, we leave this for future research. Ludvigson and Ng (2009) use such an approach to select their factors. One interesting difference resulting from their approach compared to ours is that they find that they need to include a stock market factor. In our sample, the 7th PCA factor is most related to stock market variables, but explains only 3% of the variance in the macro panel and hence does not make the cut to be included in our vector of macro factors that we incorporate in the models. Return to text

8.  Note again that "contemporaneous" here means that we use financial series recorded at time $t$, whereas time $t-1$ values are used for the remaining macro series, see Section 2.2 for further details. Return to text

9.  In a forecasting exercise using German zero-coupon yields, Hordahl, Tristani, Vestin (2006) show that term-structure information helps little in forecasting macroeconomic variables (more specifically (i) inflation and (ii) the output gap) which provides an argument for forecasting macro variables outside of term structure models. The authors note, however, that this might be due to the fact that their proposed macroeconomic model has an imperfect ability to describe the joint dynamics of German macroeconomic variables. On the other hand, Diebold, Rudebusch, and Aruoba (2006) and Ang, Dong, and Piazzesi (2007) do allow for bi-directional effects between macro variables and latent yield factors but both studies find that the causality from macro variables to yields is much stronger than vice versa. Return to text

10.  For both the AR and VAR models we examined the benefits of including more lags by analyzing AR($p$) and VAR($p$) models with $p=2,\ldots,12$. We found that using multiple lags resulted in nearly identical forecasts compared to the AR(1) and VAR(1) models and these results are therefore not reported, nor are they included in the forecasting combination procedures in Sections 4 and 5. Return to text

11.  Note that because we model the observable macro factors in $M_{t}$ with a VAR(3) model, we need to add both the first and second lag, $M_{t-1}$ and $M_{t-2}$, respectively, to the state vector in order to write the state equations in companion form. Return to text

12.  The macro factors are prevented from entering the measurement equations directly by only allowing the factor loadings of $\beta_{t}$ to be non-zero in (9). Diebold, Rudebusch, and Aruoba (2006) impose this restriction to maintain the assumption that three factors are sufficient to describe interest rate dynamics. We follow Diebold, Rudebusch, and Aruoba (2006) here because relaxing this assumption would result in a substantial number of additional parameters. Return to text

13.  Contrary to the reduced-form affine model of Ang and Piazzesi (2003), Hordahl, Tristani, and Vestin (2006) use a structural affine model with macroeconomic variables in which the number of parameters can be kept down. They show that their model leads to better longer horizon interest rate forecasts than the Ang and Piazzesi (2003) model. These results indicate that instead of only imposing no-arbitrage restrictions, which is the case in affine models, imposing also structural equations seems to mitigate overparameterization. Return to text

14.  To address the Lucas Critique and to check the robustness of our results, we also repeated our analysis using a moving window of ten years. Although somewhat surprising perhaps, results were rather similar to the expanding window results which we discuss below. Return to text

15.  To try and keep the number of graphs down we only show Trace CSPE graphs here. Graphs for individual maturities are available upon request. Return to text

16.  Note that Figures 8 to 11 contain the same information for the 1994-2003 period as do Figures 4 to 7 do. However, the graphs differ because the CSPEs start at zero in 1989 and 1994, respectively. Return to text

17.  Note that whereas in Panels A and B of Tables 3 to 6 we report results for the Root MSPE, Timmermann (2006) argues that it is better to use the MSPE to construct model weights. We therefore use MSPE in this forecast combination scheme. Return to text

18.  We also implement this combination scheme with the Range and Deviation statistics as in Hansen, Lunde, and Nason (2003), as well as for a 90% confidence level. Results were very similar to marginally worse than the statistics we report in Panels C of Tables 3 to 6. Return to text

19.  Note that the MCS to compute the inclusion percentages in Tables 3 to 6 is based on an expanding window that starts in 1989:1, whereas the full-sample MCS results in those same tables are based on the sample 1994:1 - 2003:12. It can happen therefore that a model is included in the full-sample MCS, while at the same time it is hardly ever included in the expanding MCS trimming combination scheme, i.e. it has a percentage close to, or equal to, zero. Return to text

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