Interest Rate Modeling and Forecasting in India

Pami Dua, Nishita Raje and Satyananda Sahoo
Additional contact information
Nishita Raje: Department of Economic Analysis and Policy, Reserve Bank of India

No 3, Occasional papers from Centre for Development Economics, Delhi School of Economics

Abstract: The study develops univariate (ARIMA and ARCH/GARCH) and multivariate models (VAR, VECM and Bayesian VAR) to forecast short- and long-term rates, viz., call money rate, 15-91 days Treasury Bill rates and interest rates on Government securities with (residual) maturities of one year, five years and ten years. Multivariate models consider factors such as liquidity, Bank Rate, repo rate, yield spread, inflation, credit, foreign interest rates and forward premium. The study finds that multivariate models generally outperform univariate ones over longer forecast horizons. Overall, the study concludes that the forecasting performance of Bayesian VAR models is satisfactory for most interest rates and their superiority in performance is marked at longer forecast horizons.

Pages: 84 pages
Date: 2004-07
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-ecm and nep-fin
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.cdedse.org/pdf/occpap3.pdf

Related works:
Working Paper: Interest Rate Modeling and Forecasting in India (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cde:occpap:3

Ordering information: This working paper can be ordered from
http://www.cdedse.org/

The price is free.

Access Statistics for this paper

More papers in Occasional papers from Centre for Development Economics, Delhi School of Economics Delhi 110 007. Contact information at EDIRC.
Bibliographic data for series maintained by Sanjeev Sharma ().