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Forecasting changes in UK interest rates

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Author Info
Tae-Hwan Kim (School of Economics, University of Nottingham, Nottingham, UK)
Paul Mizen (School of Economics, University of Nottingham, Nottingham, UK)
Thanaset Chevapatrakul (Department of Economics, Loughborough Unviersity, Loughborough, UK)

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Abstract

Making accurate forecasts of the future direction of interest rates is a vital element when making economic decisions. The focus on central banks as they make decisions about the future direction of interest rates requires the forecaster to assess the likely outcome of committee decisions based on new information since the previous meeting. We characterize this process as a dynamic ordered probit process that uses information to decide between three possible outcomes for interest rates: an increase, decrease or no change. When we analyse the predictive ability of two information sets, we find that the approach has predictive ability both in-sample and out-of-sample that helps forecast the direction of future rates. Copyright © 2008 John wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1043
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 27 (2008)
Issue (Month): 1 ()
Pages: 53-74
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jof:jforec:v:27:y:2008:i:1:p:53-74

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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