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The accuracy of interest rate forecasts in the Asia-Pacific region: opportunities for portfolio management

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  • Ibrahim Filiz
  • Thomas Nahmer
  • Markus Spiwoks
  • Kilian Bizer

Abstract

We analysed interest rate forecasts from Australia, China, Hong Kong, India, Indonesia, Malaysia, New Zealand, Singapore, South Korea, Taiwan and Thailand. We assessed 532 forecast time series with a total of 85,264 individual interest rate forecasts. To do so, we carried out a comparison to naïve forecasts and investigated the forecast time series for topically orientated trend adjustments. In addition, we deployed the sign accuracy test and the unbiasedness test. The results are very sobering in part: 95.9% of all forecast time series are characterized by the phenomenon of topically orientated trend adjustments, and 99.4% of all forecast time series proved to be biased. Only a small proportion of the forecast time series (3.6%) reflected the future interest rate trend significantly more precisely than a naïve forecast. However, at the same time some of the results of the study are surprisingly positive. The sign accuracy test revealed that 48.3% of all forecast time series predict the interest rate trend significantly better than a random walk forecast.

Suggested Citation

  • Ibrahim Filiz & Thomas Nahmer & Markus Spiwoks & Kilian Bizer, 2019. "The accuracy of interest rate forecasts in the Asia-Pacific region: opportunities for portfolio management," Applied Economics, Taylor & Francis Journals, vol. 51(59), pages 6309-6332, December.
    • Handle: RePEc:taf:applec:v:51:y:2019:i:59:p:6309-6332
    DOI: 10.1080/00036846.2019.1616073
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    Cited by:

    1. Hamid Baghestani, 2022. "Mortgage rate predictability and consumer home-buying assessments," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 593-603, July.
    2. 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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