Forecasting the term structure of interest rates in Kenya using Bayesian models post 2007-2008 financial crisis

dc.contributor.author	Bosire, Luycer Nyanchama
dc.date.accessioned	2023-05-23T06:30:11Z
dc.date.available	2023-05-23T06:30:11Z
dc.date.issued	2022
dc.description	Submitted in partial fulfilment of the requirements for the degree of Master of Science in Statistical Science at Strathmore University
dc.description.abstract	Despite the growing significant advances in the modelling of the term structure of interest rates after the great recession of 2008, little attention has been paid to the problem of forecasting the term structure which has proven to be an important rate in several products and instruments offered by financial institutions. This dissertation makes use of a Dynamic Nelson-Siegel model with a Time-Varying Vector Auto- Regressive component to fit a model and forecast the h-step ahead expected yield. The model makes use of four parameters representing a decay factor, level, slope and curvature latent factors estimated with high efficiency. We propose to use our DNS-TV-VAR model to estimate our factors and demonstrate the model consistency to a range of stylized yield curve initial data. We apply the model in forecasting a term structure for short and long horizons and conclude that the forecasts appear more accurate for long horizons.
dc.identifier.uri	http://hdl.handle.net/11071/13182
dc.language.iso	en
dc.publisher	Strathmore University
dc.title	Forecasting the term structure of interest rates in Kenya using Bayesian models post 2007-2008 financial crisis
dc.type	Thesis

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