The Use Of Spreads In Forecasting Medium Term U.K Interest Rates
This paper aims to extend recent work on the term structure of interest rates by establishing, in the context of the medium term UK interbank market, forecasting models which make use of market spreads as error correction terms. These models are then used withi n a trading scenario to test the short run efficiency of the market, The results indicate that this market is inefficient in the short run. Furthermore, the performance of the multi-step-ahead forecasts from the models suggest that this may be a fruitful avenue for further research into longer maturity rates.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 020 8223 2121
Web page: http://www.uel.ac.uk:80/faculties/socsci/economics
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pesaran,H.M. & Shin,Y., 1995.
"Long-Run Structural Modelling,"
Cambridge Working Papers in Economics
9419, Faculty of Economics, University of Cambridge.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
When requesting a correction, please mention this item's handle: RePEc:wuk:elecwp:9606. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (WoPEc Project)
If references are entirely missing, you can add them using this form.