Forecasting the Treasury Bill Rate: A Time-Varying Coefficient Approach
AbstractIn this paper a time-varying coefficient model is developed using a Kalman filter methodology to test the term structure of interest rates. Since the model is characterized by a continuing revision of the estimates when new information arrives, it is capable of capturing the dynamic interest rate behavior, thereby increasing the forecasting accuracy of the future spot rates. With the constant expectations hypothesis rejected, the forecasting accuracy is substantially increased.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 14 (1991)
Issue (Month): 4 (Winter)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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- Pami Dua & Nishita Raje & Satyananda Sahoo, 2004.
"Interest Rate Modeling and Forecasting in India,"
3, Centre for Development Economics, Delhi School of Economics.
- Donald S. Allen & Meenakshi Pasupathy, 1997. "A state space forecasting model with fiscal and monetary control," Working Papers 1997-017, Federal Reserve Bank of St. Louis.
- Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
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