Download or read book Interest Rate Analysis and Forecasting written by David Kern and published by . This book was released on 1992 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this book is on interest rate forecasting, and the interaction between analytical factors, political and economic developments and changes in the financial markets. The book takes an international approach with the emphasis on the USA, Germany, Japan and the UK.
Download or read book Forecasting Short Term Interest Rates Using Arma Arma Garch and Arma Egarch Models written by S. Radha and published by . This book was released on 2006 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting interest rates is of great concern for financial researchers, economists and players in the fixed income markets. The purpose of this study is to develop an appropriate model for forecasting the short-term interest rates i.e., commercial paper rate, implicit yield on 91 day treasury bill, overnight MIBOR rate and call money rate. The short-term interest rates are forecasted using univariate models, Random Walk, ARIMA, ARMA-GARCH and ARMA-EGARCH and the appropriate model for forecasting is determined considering six-year period from 1999. The results show that interest rates time series have volatility clustering effect and hence GARCH based models are more appropriate to forecast than the other models. It is found that for commercial paper rate ARIMA-EGARCH model is most appropriate model, while for implicit yield 91 day Treasury bill, overnight MIBOR rate and call money rate, ARIMA-GARCH model is the most appropriate model for forecasting.
Download or read book How to Forecast Interest Rates written by Martin J. Pring and published by McGraw-Hill Companies. This book was released on 1981 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Interest Rates written by John B. Schwartzman and published by McGraw-Hill Companies. This book was released on 1992 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Set up your own simple, one-page charts that track and assess interest rates and the factors affecting them--on a weekly, monthly, or quarterly basis. Determine, with a high degree of accuracy, in which direction the various trends influencing interest rates are likely to push them. Supplemented by a host of charts, graphs, examples, and illustrations, Forecasting Interest Rates allows you to spot the all-important events that cause interest rates to move--whether they're front-page news or subtle incidents. It shows you how to recognize a reliable interest rate factor from a red herring--whether the source is the Department of Commerce, the Department of Labor Statistics, the Federal Reserve Board, a university research center, or a nonprofit company specializing in business economic research.
Download or read book Forecasting Short term Interest Rates written by Jennifer Doyle and published by . This book was released on 2009 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Guide to Forecasting Interest Rates written by Vincent G. Massaro and published by . This book was released on 1973 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Forecasting Interest Rates written by James E. Pesando and published by . This book was released on 1979 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews, from an applied forecasting perspective, the properties of short- and long-term interest rates in an efficient market. The paper emphasizes that efficient markets do not preclude economic agents from successfully forecasting movements in short-term interest rates. For brief forecast intervals, however, ex ante changes in long-term rates are sufficiently close to zero that economic agents are not likely to improve upon the no-change prediction of the martingale model. Economic agents, in effect, are not likely to succeed in forecasting short-term movements in long-term interest rates. An analysis of three sets of Canadian interest rate forecasts provides results which are consistent with the theoretical discussion, Further, these results parallel those obtained in recent studies of recorded forecasts in the United States, although the authors of these latter studies apparently failed to appreciate the nature of their findings.
Download or read book Modelling and Forecasting Short Term Interest Rate Volatility written by Ai Jun Hou and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspecified. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semiparametric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast improvement has implications for pricing interest rate derivatives.
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Download or read book Forecasts of US Short term Interest Rates written by Massimo Guidolin and published by . This book was released on 2007 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Short term Interest Rate Futures as Monetary Policy Forecasts written by Giuseppe Ferrero and published by . This book was released on 2008 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Predicting Turning Points in the Interest Rate Cycle RLE Business Cycles written by James W. Coons and published by Routledge. This book was released on 2015-03-24 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1994 and the recipient of the Stonier Library Award, this volume evaluates an alternative approach – the sequential filter- to managing the uncertainty inherent in the future course of the interest rate cycle. The specific hypothesis is that the sequential filter can produce valuable signals of cyclical peaks and troughs in interest rates. The analysis focusses on US interest rates from April 1953 to December 1988.
Download or read book The Forecasting Accuracy of Models of the Term Structure of Interest Rates written by Alan David Kraus and published by . This book was released on 1969 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Evidence on Professional Interest Rates Forecasts written by Alex Cukierman and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper develops a model of honest rational professional forecasters with different abilities and submits it to empirical verification using data on three and twelve months ahead forecasts of short term interest rates and of long term bond yields for up to 33 countries using data collected by Consensus Economics. The main finding is that, in many countries, less precise forecasters weigh public information more heavily than more precise forecasters who weigh their own private information relatively more heavily. One implication of this result is that less precise forecasters herd after more precise forecasters even in the absence of strategic considerations. The second part of the paper discusses and examines the cross-country relationships between measures of forecast uncertainty, dispersion of forecasts across individual forecasters and the variabilities of short term interest rates and of long term bonds. The main findings are: (i) Forecast uncertainty and dispersion are positively and significantly related across countries for both short rates and yields. (ii) A similar positive, albeit somewhat weaker, association is found between uncertainty and variability. (iii) Dispersion of short term interest rate forecasts and the variability of those rates are also positively associated. The paper also documents differences between the average forecasting errors of more and less able forecasters as well as substantial correlations between the forecast errors of different forecasters."--Abstract.
Download or read book Short term Interest Rates Forecast written by and published by . This book was released on with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Short-term interest rates forecast refers to projected values of three-month money market rates. It is measured as a percentage. Forecast data are calculated by making an overall assessment of the economic climate in individual countries and the world economy as a whole, using a combination of model-based analyses and statistical indicator models.
Download or read book Forecasting the Short End of the Term Structure of Interest Rates written by Austin Graham and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the properties of two short-term interest rates: the federal funds rate and the rate of return on 90-day Treasury securities (T-Bills). Findings indicate strong evidence of cointegration among the two series. This result leads us to consider whether future movements in T-bill returns are predictable using the same methods used to predict the target federal funds rate. The "Taylor Rule," introduced by Taylor (1993), assumes the Federal Reserve considers inflation and the output gap in their deliberation of how to adjust the federal funds target rate. We do an in-sample analysis followed by an out-of-sample forecasting comparison. Findings show that, in addition to inflation and the output gap, the unemployment rate and stock market contain valuable information for forecasting future T-bill rates.
Download or read book Indicators of Short term Interest Rate Expectations written by María Cruz Manzano and published by . This book was released on 1998 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
