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A note on the directional accuracy of interest-rate forecasts

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  • Christian Pierdzioch

Abstract

I use data from the Livingston survey to study the informational content of forecasts with respect to the direction of subsequent changes in short-term and long-term interest rates. Using techniques developed to analyse relative operating characteristic (ROC) curves, I find that interest-rate forecasts often contain useful information with respect to the direction of future changes in interest rates.

Suggested Citation

  • Christian Pierdzioch, 2015. "A note on the directional accuracy of interest-rate forecasts," Applied Economics Letters, Taylor & Francis Journals, vol. 22(13), pages 1073-1077, September.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:13:p:1073-1077
    DOI: 10.1080/13504851.2014.1000516
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    Cited by:

    1. Ibrahim Filiz & Jan René Judek & Marco Lorenz & Markus Spiwoks, 2021. "Sticky Stock Market Analysts," JRFM, MDPI, vol. 14(12), pages 1-27, December.

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