IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v36y2016i4p345-374.html
   My bibliography  Save this article

Forecasting the LIBOR‐Federal Funds Rate Spread During and After the Financial Crisis

Author

Listed:
  • Wassim Dbouk
  • Ibrahim Jamali
  • Lawrence Kryzanowski

Abstract

In this paper, we examine the point and density forecast accuracy of econometric models, surveys and futures rates in predicting the LIBOR‐Federal Funds Rate (LIBOR‐FF) spread during and after the financial crisis. We provide evidence that the futures market forecast outperforms all competing forecasts during and after the financial crisis and that its predictive density is well calibrated. Our results also suggest that the predictive accuracy of the econometric models improves in the post‐crisis period. We argue that the post‐2009 improvement in the econometric models' forecasts is attributable to the absence of LIBOR manipulation. The economic significance of the uncovered predictability is assessed using a trading strategy. Our results suggest that trading based on the futures market and econometric forecasts generates positive risk‐adjusted returns. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:345–374, 2016

Suggested Citation

  • Wassim Dbouk & Ibrahim Jamali & Lawrence Kryzanowski, 2016. "Forecasting the LIBOR‐Federal Funds Rate Spread During and After the Financial Crisis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(4), pages 345-374, April.
    • Handle: RePEc:wly:jfutmk:v:36:y:2016:i:4:p:345-374
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Akdi, Yilmaz & Varlik, Serdar & Berument, M. Hakan, 2020. "Duration of Global Financial Cycles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    2. Dbouk, Wassim & Jamali, Ibrahim, 2018. "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, vol. 46(C), pages 149-165.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:36:y:2016:i:4:p:345-374. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.