Article ID Journal Published Year Pages File Type
5060499 Economics Letters 2012 4 Pages PDF
Abstract
► 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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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