A Survey on Interest Rate Forecasting

Yvon Fauvel (), Alain Paquet () and Christian Zimmermann ()

No 87, Cahiers de recherche CREFE / CREFE Working Papers from CREFE, Université du Québec à Montréal

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.

Keywords: Interest rates; forecasting; survey; time series. (search for similar items in EconPapers)
JEL-codes: C53 E43 C22 C32 (search for similar items in EconPapers)
Date: 1999-06
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