Modelling and forecasting interest rates during stages of the economic cycle: A knowledge-discovery approach
作者：
Highlights：
• Proposes a knowledge discovery methodology to model and forecast economic variables.
• Demonstrates the deployment of the methodology to forecast interest rates.
• The interpretability of the results is improved through the use of decision trees.
• Comprehensive critical review of existing theoretical and empirical studies.
• Demonstrates that economic stage modelling improves the forecasting results.
摘要
•Proposes a knowledge discovery methodology to model and forecast economic variables.•Demonstrates the deployment of the methodology to forecast interest rates.•The interpretability of the results is improved through the use of decision trees.•Comprehensive critical review of existing theoretical and empirical studies.•Demonstrates that economic stage modelling improves the forecasting results.
论文关键词：Interest rates,Yield curve,Economic cycles,Forecasting,Data mining,Decision trees
论文评审过程：Received 17 March 2015, Revised 31 August 2015, Accepted 4 September 2015, Available online 25 September 2015, Version of Record 10 November 2015.
论文官网地址：https://doi.org/10.1016/j.eswa.2015.09.010
