If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Banque de France in its series Documents de Travail 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: Handle: RePEc:bfr:banfra:193
Find related papers by JEL classification: E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
References listed on IDEAS 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.: