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Structural breaks and interest rates forecast : a sequential approach

Fernández Serrano , José Luis and Robles Fernández, María Dolores (2001) Structural breaks and interest rates forecast : a sequential approach. [Working Paper or Technical Report]

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Abstract

Se analiza el impacto de los cambios estructurales en la evaluación de la capacidad predictiva. Este trabajo se interesa en la previsión de los tipos de interés del mercado interbancario, utilizandose nuevos métodos secuenciales para estimar los puntos de corte de manera endógena. Posteriormente se compara las previsiones hechas con los modelos que incorporan los cambios estructurales detectados con modelos en los que no se han tenido en cuenta. Los resultados parecen indicar escasas ganacias cuando se incorpora la información sobre el cambio estructural.

The analysis of the future behaviour of economic variables can be biased if structural breaks are not
considered. When these structural breaks are present, the in-sample fit of a model gives us a poor guide to ex-ante forecast performance. This problem is shared by univariate and multivariate analysis and can be extremely important when cointegration relationships are analysed. The main goal of this paper consists in analysing the impact of structural breaks on forecast accuracy evaluation. We are concerned in forecasting several interest rates from the Spanish interbank money market

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Tipos de interés, mercado interbancario Forecast accuracy comparison, Endogenous structural breaks, Sequential test, Interest rates forecast
Subjects:UNSPECIFIED
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2001
Number:10
ID Code:6794
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Deposited On:30 Nov 2007
Last Modified:06 Feb 2014 07:51

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