Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5085100 | International Review of Financial Analysis | 2011 | 7 Pages |
Abstract
In this work we compare the interest rate forecasting performance of a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predictive power, but it does not outperform the random walk. We also find that macroeconomic variables and no-arbitrage conditions have little effect to improve the out-of-sample fit, while a financial variable (Stock Index) increases the forecasting accuracy.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marco Matsumura, Ajax Moreira, José Vicente,