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Does the euro area forward rate provide accurate forecasts of the short rate?
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Galvão, Ana Beatriz and Costa, Sonia (2013) Does the euro area forward rate provide accurate forecasts of the short rate? International Journal of Forecasting, 29 (1). pp. 131-141. doi:10.1016/j.ijforecast.2012.07.003 ISSN 0169-2070.
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2012.07.003
Abstract
The forward rate can deliver accurate forecasts of euro area short-term interest rates, depending on the time period. During periods of macroeconomic uncertainty, forecasts obtained from a model of yield and macro factors are more accurate than forward-based forecasts. We provide evidence that a time-varying forward premium explains the variation in the forecasting performance. We develop a method for computing forward premium confidence intervals to identify ex-ante periods during which forward-based forecasts are inaccurate.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||
| Journal or Publication Title: | International Journal of Forecasting | ||||||
| Publisher: | Elsevier | ||||||
| ISSN: | 0169-2070 | ||||||
| Official Date: | January 2013 | ||||||
| Dates: |
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| Volume: | 29 | ||||||
| Number: | 1 | ||||||
| Page Range: | pp. 131-141 | ||||||
| DOI: | 10.1016/j.ijforecast.2012.07.003 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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