Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters

Mitchell, Karlyn; Pearce, Douglas K.

doi:10.1002/soej.12236

Cited by 3 publications

(1 citation statement)

References 35 publications

(85 reference statements)

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“…Additionally, the nexus between different types of interest rates and determinants has great importance in the literature. There are various determinants like budget deficit (Mukhtar and Zakaria 2008 ), current account balance (Jammazi et al 2017 ; Dinçer et al 2019 ), economic growth (Holston et al 2017 ; Obeng and Sakyi 2017 ; Shaukat et al 2019 ), financial sector development (Egert et al 2007 ), foreign trade (Gupta and Goyal 2015 ), inflation (Muinhos and Nakane 2006 ; Ratti and Vespignani 2016 ), public debt (Tumwine et al 2018 ), reserves (Gupta and Goyal 2015 ), and unemployment (Hol 2006 ; Taylor and Wieland 2016 ; Mitchell and Pearce 2017 ; Shapiro 2018 ), etc. However, these indicators are not included in this study, considering that these variables are announced on a monthly, quarterly, or yearly basis, whereas TLREF is announced daily.…”

Section: Literature Reviewmentioning

confidence: 99%

Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms

2021

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Some countries have announced national benchmark rates, while others have been working on the recent trend in which the London Interbank Offered Rate will be retired at the end of 2021. Considering that Turkey announced the Turkish Lira Overnight Reference Interest Rate (TLREF), this study examines the determinants of TLREF. In this context, three global determinants, five country-level macroeconomic determinants, and the COVID-19 pandemic are considered by using daily data between December 28, 2018, and December 31, 2020, by performing machine learning algorithms and Ordinary Least Square. The empirical results show that (1) the most significant determinant is the amount of securities bought by Central Banks; (2) country-level macroeconomic factors have a higher impact whereas global factors are less important, and the pandemic does not have a significant effect; (3) Random Forest is the most accurate prediction model. Taking action by considering the study’s findings can help support economic growth by achieving low-level benchmark rates.

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Section: Literature Reviewmentioning

confidence: 99%

Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms

2021

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Macroeconomic Determinants of Interest Rates in Bricst, Mint, and Fragile Five Countries: Evidence from Quantile Regression Analysis

Depren

Kartal

Depren

2021

Studies in Business and Economics

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As a substantially important indicator for economies, interest rates are influenced by a variety of macroeconomic factors. Considering this fact, the study aims to determine the influential macroeconomic determinants on deposit interest rates in emerging countries by using 12 independent macroeconomic determinants, yearly data between 1980 and 2018, and quantile regression method, which is applied for the first time to analyze interest rates. The empirical results show that influential determinants and their effects on the interest rate are differentiating for countries. The findings reveal that the most important factor in the interest rate is the consumer price index (CPI) in Turkey and Mexico; unemployment in Russia and China; total reserves in Nigeria; GDP in Indonesia; imports of goods and services in Brazil and South Africa. The results of the analysis emphasize the importance of macroeconomic indicators on the interest rates in each quantile. Taking measures by considering the findings of the study, which shows the role and importance of each macroeconomic indicator in quantiles, is essential to promote economic growth via ensuring low-level deposit interest rates and hence providing credit growth in emerging countries.

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The Role Of Bank Interest Rate In The Competıtıve Emergıng Markets To Provıde Fınancıal and Economıc Stabılıty

Dınçer

Yüksel

Kartal

2019

Ekonomi İşletme Ve Maliye Araştırmaları Dergisi

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Financial and economic stability are two main significant concepts of the countries. Many different actions are taken in order to reach this objective. In this process, interest rate plays a key role because it mainly affects the cost of investments and consumption decisions of the parties. Therefore, the determinants of interest rate should be identified to have more effective financial market. This study aims to determine the influencing factors of bank interest rate in Turkey. Within this framework, seven different independent variables are selected based on literature review. Moreover, quarterly data of these variables for the periods between 2001:01 and 2018:02 is taken into the consideration. Furthermore, multivariate adoptive regression splines (MARS) model is used in the analysis process. The findings show that inflation, foreign debt, budget deficit, current account deficit and high oil price are the main determinants of high interest rate in Turkey. Therefore, it is obvious that Turkish government should take some actions to minimize these macroeconomic problems. In this context, inflation targeting plan should be implemented more effectively with the coordination of the government and central bank. Additionally, budget discipline should be maintained in order to prevent budget deficit. Furthermore, the government should take some measures to reduce the demand for imported goods, so current account deficit can be decreased. With the help of these actions, it can be more possible to decrease interest rate in Turkey. Lower interest rate has an increasing effect on the investment which contributes sustainable financial and economic growth.

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Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters

Cited by 3 publications

References 35 publications

Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms

Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms

Macroeconomic Determinants of Interest Rates in Bricst, Mint, and Fragile Five Countries: Evidence from Quantile Regression Analysis

The Role Of Bank Interest Rate In The Competıtıve Emergıng Markets To Provıde Fınancıal and Economıc Stabılıty

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