Current Forecast of 1 Year LIBOR

Units: Percent per Year, End of Month.  Not Seasonally Adjusted.

Solid Line = Actual Values.  Dashed Line = Predicted Values.

Historical Data and Forecast for 1 Year LIBOR

How This Forecast is Produced

The forecast of the indicator above is produced using three different modelling techniques: ARIMA, State Space, and Hilbert-Haung Transform (Empirical Mode Decomposition).

The forecast is made by using the three analytical techniques above to model the time series.  The models produced are then used to project the time series forward in time.  Of the three techniques, either one or a combination of the three that has performed well in the past is used for the published forecast.

The London Iterbank Offered Rate, or LIBOR

The London Iterbank Offered Rate, or LIBOR, is an average interest rate London banks charge other London banks for borrowing money.  The LIBOR is also estimated for 6 different currencies, thus there are different rates for each term (period of time) and each currency.  The rates published here are for USD denominated borrowings.

The LIBORs are used as benchmark interest rates around the world.