How well do experts predict interbank loan rates and spreads?
This study examines Blue Chip forecasts of the 3-month London interbank offered rate (LIBOR), federal funds rate (FFR), and LIBOR-FFR for 1988-2008. We show that the interest rate (spread) forecasts, while directionally accurate, imply asymmetric (symmetric) loss.
Year of publication: |
2010
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Authors: | Baghestani, Hamid |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 109.2010, 1, p. 4-6
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Publisher: |
Elsevier |
Keywords: | Blue Chip survey LIBOR Federal funds Directional accuracy Asymmetric or symmetric loss |
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