Table 15 Sensitivity analysis—unit positive shock to CMR
From: Interest rates forecasting and stress testing in India: a PCA-ARIMA approach
Rates | Old values | New values | Change in values | |||
|---|---|---|---|---|---|---|
RMSE | RMSE/SD | RMSE | RMSE/SD | ∆(RMSE) | ∆(RMSE/SD) | |
PC1 | 1.22 | 0.25 | 0.34 | 0.07 | −0.88 | −0.27 |
CMR | 1.75 | 0.95 | 1.64 | 0.89 | −0.11 | −0.75 |
TBILL(14D) | 1.37 | 0.81 | 1.27 | 0.75 | −0.10 | −0.52 |
TBILL(91D) | 1.38 | 0.82 | 1.22 | 0.72 | −0.16 | −0.50 |
TBILL(182D) | 1.13 | 0.70 | 1.05 | 0.66 | −0.08 | −0.40 |
TBILL(364D) | 1.06 | 0.67 | 1.00 | 0.63 | −0.06 | −0.37 |
GDSY1 | 0.90 | 0.60 | 0.78 | 0.52 | −0.12 | −0.26 |
GDSY2 | 0.70 | 0.51 | 0.56 | 0.41 | −0.14 | −0.15 |
GDSY3 | 0.64 | 0.50 | 0.51 | 0.40 | −0.13 | −0.11 |
GDSY4 | 0.64 | 0.51 | 0.52 | 0.41 | −0.12 | −0.11 |
GDSY5 | 0.66 | 0.52 | 0.55 | 0.43 | −0.11 | −0.11 |
GDSY10 | 0.74 | 0.58 | 0.67 | 0.53 | −0.07 | −0.14 |
GDSY15 | 0.77 | 0.61 | 0.72 | 0.57 | −0.05 | −0.15 |
