Forecasting Interest Rates

Greg Duffee

Chapter Chapter 7 in Handbook of Economic Forecasting, 2013, vol. 2, pp 385-426 from Elsevier

Abstract: This chapter discusses what the asset-pricing literature concludes about the forecastability of interest rates. It outlines forecasting methodologies implied by this literature, including dynamic, no-arbitrage term structure models and their macro-finance extensions. It also reviews the empirical evidence concerning the predictability of future yields on Treasury bonds and future excess returns to holding these bonds. In particular, it critically evaluates theory and evidence that variables other than current bond yields are useful in forecasting.

Keywords: Term structure; Affine models; Predicting bond returns; Predicting bond yields (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (25)

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Working Paper: Forecasting interest rates (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofch:2-385

DOI: 10.1016/B978-0-444-53683-9.00007-4

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