La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières
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Bibliographic InfoPaper provided by Banque de France in its series Working papers with number 193.
Length: 40 pages Abstract This study evaluates the predictive content of the 3-month Euribor contracts futures. We initially show that there is a forecast error on these contracts, on average positive and increasing with the forecast horizon. Then, we propose a method for correcting futures rates thanks to macroeconomic and financial variables. Finally, in the framework of an out-of-sample forecast exercise, we demonstate that corrected rates are better forecasts of future monetary policy path on the medium-term.
Date of creation: 2008
Date of revision:
Monetary Policy ; Interest Rate Forecast ; Futures Contracts ; Forecast Error ; Risk Premia.;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- repec:cfs:cfswop:wp200409 is not listed on IDEAS
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