Arbeitspapier
Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts
This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using out of sample forecast errors, where a random walk forecast acts as benchmark. It is found that for five major OECD countries, namely United States, Germany, United Kingdom, The Netherlands and Japan, the other forecasting approaches do not outperform the random walk, or a somewhat more sophisticated time series model, on a 3 month forecast horizon. On a 12 month forecast horizon the random walk model can be outperformed by a model that combines economic data and expert forecasts. Here several methods of combination are considered: equal weights, optimized weights and weights based on forecast error. It appears that the additional information contents of the structural models and expert knowledge is only relevant for forecasting 12 months ahead.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 08-102/3
- Classification
-
Wirtschaft
Forecasting Models; Simulation Methods
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Interest Rates: Determination, Term Structure, and Effects
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Subject
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interest rate forecasting
expert knowledge
combining forecasts
optimizing forecast errors
Zins
Prognoseverfahren
Sachverständige
Modellierung
Random Walk
Theorie
Schätzung
OECD-Staaten
- Event
-
Geistige Schöpfung
- (who)
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den Butter, Frank A.G.
Jansen, Pieter W.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- den Butter, Frank A.G.
- Jansen, Pieter W.
- Tinbergen Institute
Time of origin
- 2008
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