How Informative Are Interest Rate Survey-based Forecasts?
نویسندگان
چکیده
This paper studies the information content of survey-based predictions for the Brazilian short-term interest rate. We perform vector autoregression analysis to test for the dynamic relationship between market expectations of interest rates and spot interest rates, and a single regression forecasting approach. Empirical results suggest that surveys may be useful in assessing market expectations (contain relevant information) and in building Central Bank credibility. Within an inflation targeting framework they are crucial in order to receive timely feedback on market sentiment regarding the conduct of monetary policy.
منابع مشابه
Applied Financial Economics , 2007 , 17 , 425 – 430 Shrunken interest rate forecasts are better forecasts
Predicted changes in interest rates are imperfectly correlated with actual changes in interest rates. One statistical consequence may be that large predicted changes are more likely to be overestimates than underestimates of the magnitude of the change. If so, the accuracy of predicted interest rate changes can be improved by shrinking them toward a prior mean of zero. The application of this i...
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