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: C22 C32 C53 E43 (search for similar items in EconPapers)
Pages: 39 pages
Date: 1999-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.unites.uqam.ca/eco/CREFE/cahiers/cah87.ps Main text (application/postscript)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.unites.uqam.ca/eco/CREFE/cahiers/cah87.ps [301 Moved Permanently]--> https://unites.uqam.ca/eco/CREFE/cahiers/cah87.ps)
http://www.unites.uqam.ca/eco/CREFE/cahiers/cah87.pdf Main text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.unites.uqam.ca/eco/CREFE/cahiers/cah87.pdf [301 Moved Permanently]--> https://unites.uqam.ca/eco/CREFE/cahiers/cah87.pdf)

Related works:
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:cre:crefwp:87

Access Statistics for this paper

More papers in Cahiers de recherche CREFE / CREFE Working Papers from CREFE, Université du Québec à Montréal P.O. Box 8888, Downtown Station, Montreal (Canada) Quebec, H3C 3P8. Contact information at EDIRC.
Bibliographic data for series maintained by Stéphane Pallage ().