Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
987256 | Review of Financial Economics | 2006 | 15 Pages |
Abstract
This paper evaluates the multiperiod forecasts of Moody's Aaa corporate and the 10-year Treasury bond rates from the Survey of Professional Forecasters (SPF). We show that the SPF forecasts are not rational since they fail to be unbiased and, in some cases, do not fully incorporate the information in the past actual rates. These forecasts, however, are useful, since they are able to accurately predict the direction of change in the actual series. We also formulate a model that utilizes the information in the SPF forecasts of the unemployment rate. Comparable four-quarter-ahead forecasts of the two interest rates from this model are shown to be significantly more accurate than the corresponding SPF forecasts for 2001.1-2004.4.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hamid Baghestani,