Forecasting Canadian Short-Term Interest Rates
AbstractThe author investigates the forecasting performance of a number of simple prediction techniques for short-term interest rates. In particular, quarterly forecasts of Canadian three-month T-bill rates, from one to forty quarters in the future, are generated during 1963-92 using several time-series methods and market-based yield curve strategies. Comparison is made with the martingale and, for a shorter recent sample, with the predictions made by several economic forecasters. For the most part, utilization of the yield curve proved best, though it must be granted that no methodology was able to outperform the martingale for horizons up to a year.
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Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 29 (1996)
Issue (Month): 3 (August)
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Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
Web page: http://economics.ca/cje/
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Documentos de Trabajo del ICAE
0225, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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