Forecasting the Term Structure of Government Bonds in Canada and China

This analysis is dedicated to forecasting the term structure, or yield curve, of government bonds in Canada and China, a critical component in understanding national financial health and policy-making decisions.

• Ÿ Comprehensive Data Collection: We have meticulously collected bond prices and related news data for Canada and China from authoritative sources such as Bloomberg, DataStream, LexisNexis, SAS, and SQL Server. The data underwent rigorous selection and processing using Excel VBA to ensure quality and relevance.
• Ÿ Sophisticated Modeling Techniques: Our modeling framework is based on advanced tools like Gauss and Matlab. We employed statistical techniques such as AR(1), Maximum Log-Likelihoods, and the Kalman Filter to obtain precise regression results, crucial for accurate forecasting.
• Ÿ Diverse Analytical Approaches: We utilized a range of methods for both in-sample and out-of-sample testing. This includes the Random Walk, Slope Regression, Fama-Bliss Forward Rate Regression, Cochrane-Piazzesi Forward Curve Regression, and Univariate AR(1) and VAR(1) models. Each method provides unique insights into the yield curve dynamics of the government bonds under study.