Does the Taylor Rule outperform market forecasts of interest rates?

Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. === This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve...

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Bibliographic Details
Main Author:	Msipa, Chipo
Format:	Others
Language:	en
Published:	2017
Subjects:	Interest rates > Mathematical models Stock price forecasting > Mathematical models
Online Access:	http://hdl.handle.net/10539/21799

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-wits-oai-wiredspace.wits.ac.za-10539-217992019-05-11T03:41:19Z Does the Taylor Rule outperform market forecasts of interest rates? Msipa, Chipo Interest rates--Mathematical models Stock price forecasting--Mathematical models Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons. MT2017 2017-01-31T06:53:56Z 2017-01-31T06:53:56Z 2016 Thesis http://hdl.handle.net/10539/21799 en Online resource (43 leaves) application/pdf
collection	NDLTD
language	en
format	Others
sources	NDLTD
topic	Interest rates--Mathematical models Stock price forecasting--Mathematical models
spellingShingle	Interest rates--Mathematical models Stock price forecasting--Mathematical models Msipa, Chipo Does the Taylor Rule outperform market forecasts of interest rates?
description	Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. === This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons. === MT2017
author	Msipa, Chipo
author_facet	Msipa, Chipo
author_sort	Msipa, Chipo
title	Does the Taylor Rule outperform market forecasts of interest rates?
title_short	Does the Taylor Rule outperform market forecasts of interest rates?
title_full	Does the Taylor Rule outperform market forecasts of interest rates?
title_fullStr	Does the Taylor Rule outperform market forecasts of interest rates?
title_full_unstemmed	Does the Taylor Rule outperform market forecasts of interest rates?
title_sort	does the taylor rule outperform market forecasts of interest rates?
publishDate	2017
url	http://hdl.handle.net/10539/21799
work_keys_str_mv	AT msipachipo doesthetaylorruleoutperformmarketforecastsofinterestrates
_version_	1719083566340505600

Does the Taylor Rule outperform market forecasts of interest rates?

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