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A Survey on Interest Rate Forecasting

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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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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