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An evaluation of the professional forecasts of U.S. long-term interest rates

  • Baghestani, Hamid
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    File URL: http://www.sciencedirect.com/science/article/B6W61-4GPW3SG-1/2/7984c24995116c86c7b5fa820d123109
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    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 15 (2006)
    Issue (Month): 2 ()
    Pages: 177-191

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    Handle: RePEc:eee:revfin:v:15:y:2006:i:2:p:177-191
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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    1. Joutz, Fred & Stekler, H. O., 2000. "An evaluation of the predictions of the Federal Reserve," International Journal of Forecasting, Elsevier, vol. 16(1), pages 17-38.
    2. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
    3. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    4. John Barkoulas & Christopher F. Baum & Atreya Chakraborty, 1996. "Nearest-Neighbor Forecasts of U.S. Interest Rates," Boston College Working Papers in Economics 313., Boston College Department of Economics, revised 01 Apr 2003.
    5. Andy Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2003. "Forecast evaluation with cross-sectional data: The Blue Chip Surveys," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 17-31.
    6. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    7. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
    8. Simon, David P, 1989. "The Rationality of Federal Funds Rate Expectations: Evidence from a Survey: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(3), pages 388-93, August.
    9. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
    10. Hamid Baghestani & Woo Jung & Daniel Zuchegno, 2000. "On the information content of futures market and professional forecasts of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 679-684.
    11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    12. Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
    13. Pearce, Douglas K, 1979. "Comparing Survey and Rational Measures of Expected Inflation: Forecast Performance and Interest Rate Effects," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(4), pages 447-56, November.
    14. Dua, Pami, 1988. "Multiperiod Forecasts of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(3), pages 381-84, July.
    15. David H. Romer & Christina D. Romer, 2000. "Federal Reserve Information and the Behavior of Interest Rates," American Economic Review, American Economic Association, vol. 90(3), pages 429-457, June.
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