Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5060499 | Economics Letters | 2012 | 4 Pages |
Abstract
⺠This paper contributes to the literature on forecasting the term structure of interest rates. ⺠We show that econometric models are able to produce forecasts that outperform the random walk. ⺠We present evidence that the Bowsher and Meeks model outperforms the Diebold and Li model in the short run. ⺠The results are important for policy makers, academics, banking and investment professionals.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
B.M. Tabak, A.B. Sollaci, G.M. Gomes, D.O. Cajueiro,