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Improving the Accuracy of Recent Survey Forecasts of the T-bill Rate

Improving the Accuracy of Recent Survey Forecasts of the T-bill Rate Abstract This study concentrates on the Survey of Professional Forecasters (SPF) to demonstrate a way to improve the consensus forecasts of interest rates. It promotes the notion that, in improving the survey forecast accuracy of a variable, one should investigate the usefulness of the predictive information contained in the survey forecasts of other theoretically relevant variables. This idea has been applied to the SPF forecasts of the 3-month Treasury-bill rate, which are shown to be one-sided for 2001.1-2003.4. We improve the accuracy of these forecasts by exploiting the predictive information contained in the SPF forecasts of inflation and output growth. We thus recommend that the possible improvement should be investigated before such interest rate forecasts are utilized for decision-making. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Business Economics Springer Journals

Improving the Accuracy of Recent Survey Forecasts of the T-bill Rate

Baghestani, Hamid
Business Economics , Volume 40 (2): 5 – Apr 1, 2005
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References (9)

Publisher
Springer Journals
Copyright
2005 National Association for Business Economics
ISSN
0007-666X
eISSN
1554-432X
DOI
10.2145/20050204
Publisher site
See Article on Publisher Site

Abstract

Abstract This study concentrates on the Survey of Professional Forecasters (SPF) to demonstrate a way to improve the consensus forecasts of interest rates. It promotes the notion that, in improving the survey forecast accuracy of a variable, one should investigate the usefulness of the predictive information contained in the survey forecasts of other theoretically relevant variables. This idea has been applied to the SPF forecasts of the 3-month Treasury-bill rate, which are shown to be one-sided for 2001.1-2003.4. We improve the accuracy of these forecasts by exploiting the predictive information contained in the SPF forecasts of inflation and output growth. We thus recommend that the possible improvement should be investigated before such interest rate forecasts are utilized for decision-making.

Journal

Business Economics – Springer Journals

Published: Apr 1, 2005

Keywords: economics, general; political economy/economic systems; business and management, general

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