Forecasting Canadian Short-Term Interest Rates
The 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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Volume (Year): 29 (1996)
Issue (Month): 3 (August)
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References listed on IDEAS
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