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Interest Rate Modeling and Forecasting in India

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  • Pami Dua

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Abstract

The interest rate is a key financial variable that affects decision of consumers, businesses, financial institutions, professional investors and policymakers. Timely forecast of interest rates can therefore provide valuable information to financial market participants and policymakers. The objective of this study is to develop models to forecast short term and long term rates. The study develops univariate and multivariate models to forecast these rates.

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Bibliographic Info

Paper provided by eSocialSciences in its series Working Papers with number id:1521.

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Date of creation: Jun 2008
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Handle: RePEc:ess:wpaper:id:1521

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Related research

Keywords: univariat; multivariate; interest rates; forecast of interest rate; reserve bank;

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References

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Citations

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Cited by:
  1. Dilip M. Nachane & Jose G. Clavel, 2005. "Forecasting Interest Rates - A Comparative Assessment Of Some Second Generation Non-Linear Models," Finance Working Papers 22359, East Asian Bureau of Economic Research.
  2. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers 2, Centre for Central Banking Studies, Bank of England.
  3. Jayaraman, T. K. & Choong, Chee-Keong, 2011. "Impact of global growth fluctuations on India: an empirical study," MPRA Paper 33685, University Library of Munich, Germany.

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