How well do experts predict interbank loan rates and spreads?
AbstractThis study examines Blue Chip forecasts of the 3-month London interbank offered rate (LIBOR), federal funds rate (FFR), and LIBOR-FFR for 1988-2008. We show that the interest rate (spread) forecasts, while directionally accurate, imply asymmetric (symmetric) loss.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 109 (2010)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Blue Chip survey LIBOR Federal funds Directional accuracy Asymmetric or symmetric loss;
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