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A Survey on Interest Rate Forecasting

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Abstract

This survey covers the major methods used to forecast interest rates. The theoretical underpinings are presented and discussed in the perspective of forecast accuracy using results published in the literature. A basic review of interest rate modeling is also provided. Ce survol couvre les principales méthodes utilisées pour prévoir des raux d'intérêt. Les bases théoriques sont présentées et discutées sous l'angle de l'exactitude des prévisions en utilisant les résultats publiés dans la littérature. Une revue élémentaire de la modélisation des taux d'intérêt est également offerte.

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Bibliographic Info

Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 87.

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Length: 39 pages
Date of creation: Jun 1999
Date of revision:
Handle: RePEc:cre:crefwp:87

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Keywords: Interest rates; forecasting; survey; time series.;

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References

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Cited by:
  1. Jan Beran & Dirk Ocker, 2002. "Pricing of cap-interest rates based on renewal processes," CoFE Discussion Paper 02-10, Center of Finance and Econometrics, University of Konstanz.
  2. Frank A.G. den Butter & Pieter W. Jansen, 2008. "Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts," Tinbergen Institute Discussion Papers 08-102/3, Tinbergen Institute.
  3. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
  4. Baghestani, Hamid, 2009. "Forecasting in efficient bond markets: Do experts know better?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 624-630, October.
  5. Baghestani, Hamid, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, Elsevier, vol. 18(3), pages 156-162, August.
  6. Anthony Garratt & Kevin Lee, 2006. "Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan," Birkbeck Working Papers in Economics and Finance 0616, Birkbeck, Department of Economics, Mathematics & Statistics.

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