How well do experts predict interbank loan rates and spreads?
This study examines Blue Chip forecasts of the 3-month London interbank offered rate (LIBOR), federal funds rate (FFR), and LIBOR-FFR for 1988-2008. We show that the interest rate (spread) forecasts, while directionally accurate, imply asymmetric (symmetric) loss.
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- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
- Greer, Mark, 2003. "Directional accuracy tests of long-term interest rate forecasts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 291-298.
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