Are Bankers Successful in Forecasting the Direction of Credit Volume and Interest rates?
AbstractThe aim of this study is to compare directional expectations of credit volume and interest rate of the banking sector with realized observations and to test whether bankers are successful in forecasting the direction of credit volume and interest rates. Using data from the Banking Regulation and Supervision Agency’s Survey on expectations of bank managers, it is observed that the quantified expectations capture the movement of the direction of the credit volume and interest rates. Directional accuracy tests reveal that for some survey questions, the hypothesis on the independency of the direction of predicted change and the actual change cannot be rejected whereas for others the independency hypothesis is rejected. On the other hand, the analyses indicate that the success of forecasts does not differ when c redit volumes/interest rates rise or fall.
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Bibliographic InfoArticle provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.
Volume (Year): 6 (2012)
Issue (Month): 1 ()
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Expectations; Surveys; Directional accuracy; Credit volume; Interest rates.;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
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