Combining Canadian Interest Rate Forecasts

David Bolder and Yuliya Romanyuk

Chapter 1 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 3-30 from Palgrave Macmillan

Abstract: Abstract Model risk is a real concern for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, strategic portfolio allocations, or risk-management decisions. The issue is that one’s analysis is always conditional upon the model selected to describe the uncertainty in the future evolution of financial variables. Moreover, using an alternative model can, and does, lead to different results and possibly different decisions. Selecting a single model is challenging because different models generally perform in varying ways on alternative dimensions, and it is rare that a single model dominates along all possible dimensions.

Keywords: Random Walk; Forecast Error; Bond Price; Bayesian Model Average; Individual Forecast (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Combining Canadian Interest-Rate Forecasts (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-25129-8_1

Ordering information: This item can be ordered from
http://www.palgrave.com/9780230251298

DOI: 10.1057/9780230251298_1

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().