Improving the Accuracy of Recent Survey Forecasts of the T-bill Rate

Baghestani, Hamid
April 2005
Business Economics;Apr2005, Vol. 40 Issue 2, p36
Academic Journal
This study concentrates on the Survey of Professional Forecasters (SPF) to demonstrate a way to improve the consensus forecasts of interest rates. It promotes the notion that, in improving the survey forecast accuracy of a variable, one should investigate the usefulness of the predictive information contained in the survey forecasts of other theoretically relevant variables. This idea has been applied to the SPF forecasts of the 3-month Treasury-bill rate, which are shown to be one-sided for 2001.1-2003.4. We improve the accuracy of these forecasts by exploiting the predictive information contained in the SPF forecasts of inflation and output growth. We thus recommend that the possible improvement should be investigated before such interest rate forecasts are utilized for decision-making.


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