Interest rate forecasts in Latin America

Abstract

PurposeThis paper aims to assess the quality of interest rate forecasts for the money markets in Argentina, Brazil, Chile, Mexico and Venezuela for the period between 2001 and 2019. Future interest rate trends are of key significance for many business-related decisions. Thus, reliable interest rate forecasts are essential, for example, for banks that make profits by carrying out maturity transformations.Design/methodology/approachThe data that we analyze were collected by Consensus Economics through a monthly survey with over 120 renowned economists and were published between 2001 and 2019 in the journal Latin American Consensus Forecasts. The authors use the Diebold-Mariano test, the sign accuracy test, the TOTA coefficient and the unbiasedness test to determine the precision and biasedness of the forecasts.FindingsThe research reveals that the forecasting work carried out in Brazil, Chile and Mexico is remarkably successful. The quality of forecasts from Argentina and Venezuela, on the other hand, is significantly poorer.Originality/valueOver 50 studies have already been published with regard to the accuracy of interest rate forecasts, emphasizing the importance of the topic. However, interest rate forecasts for Latin American money markets have hardly been considered thus far. The paper closes this research gap. Overall, the analyzed database amounts to a total of 209 forecast time series with 28,451 individual interest rate forecasts. This study is thus far more comprehensive than all previous studies.

Projeção Da Taxa De Juros Selic Na Economia Brasileira: Uma Análise Comparativa Entre Modelos De Previsão

“…Ainda sob o ponto de vista do desempenho das projeções, Filiz et al (2021) avaliaram as previsões de taxas de juros para os mercados monetários na Argentina, Brasil, Chile, México e Venezuela que foram publicados no período de 2001 a 2019 na revista Latin American Consensus Forecasts. Foram usados testes de Diebold-Mariano, de precisão e viés de sinal e coeficiente Tota.…”

“…Segundo Filiz et al (2021), um exemplo dessa importância são os bancos, que realizam transformações de maturidade no negócio de empréstimos e ganham com o fato de que os juros de curto prazo dos depósitos são recompensados com taxas de juros mais baixas do que os de longo prazo. No entanto, essa abordagem corre riscos, pois, se as taxas de juros dos depósitos de curto prazo aumentarem consideravelmente, a transformação da maturidade pode levar a prejuízos.…”

“…De fato, o sucesso de previsões de taxas de juros foi examinado em muitos artigos indicados em Filiz et al (2019), muitos dos quais se concentraram em previsões de tendências das taxas de juros americanas, europeias e asiáticashá ainda estudos para mercados monetários latino-americanos como Baghstani e Marchon (2012), Miah, Khalifa e Hammoudeh (2016) e Filiz et al (2021). Usualmente, esses trabalhos verificam se as previsões de taxa de juros pelo mercado podem ser consideradas como tendenciosas ou eficientes.…”

Sticky Stock Market Analysts

“…The actual success of stock market forecasts is thus best checked against real ex-ante forecasts. In the area of interest rate forecasts, the evaluation of continuously published forecasts has a long tradition (Filiz et al 2021;Fassas et al 2021;Filiz et al 2019;Kunze et al 2017;Miah et al 2016;Pierdzioch 2015;Baghestani et al 2015;Oliver and Pasaogullari 2015;Spiwoks et al 2015). In the area of stock market forecasting, however, there are only a small number of studies that check continuously published stock market forecasts for their reliability (see the synoptic overview in Table 1).…”