Forecasting the yield curve for the Euro region

► This paper contributes to the literature on forecasting the term structure of interest rates. ► We show that econometric models are able to produce forecasts that outperform the random walk. ► We present evidence that the Bowsher and Meeks model outperforms the Diebold and Li model in the short run. ► The results are important for policy makers, academics, banking and investment professionals.