It was the aim of the project to develop forecasting and simulation models for interest rates in the Euro area. The target interest rates are those with 6 months, 2, 5 and 10 years time to maturity. The models analysed are regime-switching models, vector autoregressive and vector error correction models and structural econometric models. The main results are: - forward rates are no good predictors of future interest rates - point forecasts using vectorautoregressive and regime switching models could partly outperform a random walk forecast - vector error correction models are not useful for interest rate forecast because we could not find stable cointegration relationships - regime switching models have been able to produce relatively good forecasts for the direction of interest rate changes, at least for short term forecasts - simulation models can be successfully applied for conditional forecasts of short- and medium-term interest rates.