La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières
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|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:|
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Web page: http://www.banque-france.fr/
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- Bellone, B. & Gautier, E. & Le Coent, S., 2005.
"Les marchés financiers anticipent-ils les retournements conjoncturels?,"
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- Benoît Bellone & Erwan Gautier & Sébastien Le Coent, 2006. "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Économie et Prévision, Programme National Persée, vol. 172(1), pages 83-99.
- Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2002.
"Market-based measures of monetary policy expectations,"
Finance and Economics Discussion Series
2002-40, Board of Governors of the Federal Reserve System (U.S.).
- Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
- Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2006. "Market-based measures of monetary policy expectations," Working Paper Series 2006-04, Federal Reserve Bank of San Francisco.
- Diebold, Francis X. & Li, Canlin, 2006.
"Forecasting the term structure of government bond yields,"
Journal of Econometrics,
Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- J. Benson Durham, 2003. "Estimates of the term premium on near-dated federal funds futures contracts," Finance and Economics Discussion Series 2003-19, Board of Governors of the Federal Reserve System (U.S.).
- James D. Hamilton, 2009.
"Daily Changes in Fed Funds Futures Prices,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 41(4), pages 567-582, 06.
- Ian Gale & Joseph Stiglitz, 1989. "A Simple Proof That Futures Markets are Almost Always Informationally Inefficient," NBER Working Papers 3209, National Bureau of Economic Research, Inc.
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