Parametric forecasts of Australian yield curves
Conventional time series methods have been generally unsuccessful in forecasting interest rates, with fitted ARIMA models being close to random walks. The method proposed here is to forecast the whole of the yield curve, from which forecasts of individual rates may be extracted. The method is applied to Australian Government bond data and the forecasts derived from the proposed method appear to perform at least as well as the naive no-change forecasts. (C) 1999 IMACS/Elsevier Science B.V. All rights reserved.
parametric forecasts bond yield curve vector autoregressive model