Long-term interest rate predictability: Exploring the usefulness of survey forecasts of growth and inflation

Artikel

This study focuses on the consensus forecasts from the Survey of Professional Forecasters (SPF) for 1993-2017. These include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real GDP growth. We show that both SPF and random walk forecasts of TBR and Aaa generally fail to be orthogonal to changes in SPF inflation (but not growth) forecasts. Such findings point to the potential usefulness of SPF inflation forecasts in improving the accuracy of SPF and random walk forecasts of TBR and Aaa. Further results indicate that changes in SPF inflation forecasts accurately predict directional change in both TBR and Aaa at longer forecast horizons for 2008-2017 (but not for 1993-2007). These latter results raise the question of whether long-term interest rates have become easier to predict, which deserves subsequent research.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-12 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: long-term interest rates ; Fisher effect ; inflationary expectations ; orthogonality ; directional accuracy ; Survey of Professional Forecaster

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Baghestani, Hamid
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2019

Further information

• DOI: doi:10.1080/23322039.2019.1582317
• Handle: http://hdl.handle.net/10419/245202
• Last update: 10.03.2025, 11:43 AM CET