Market and Survey Forecasts of the Three-Month Treasury-Bill Rate

Hafer, R. W.; Hein, Scott E.; MacDonald, Stephen

doi:10.1086/296560

Cited by 46 publications

(34 citation statements)

References 10 publications

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“…In a further comparison of interest rate forecasts of different market experts with the naïve forecast Hafer and Hein (1989) establish that, depending on the reviewed period of time and the applied forecast error measure, sometimes the naïve forecast and sometimes the analysts' forecast provide minimally better results. This impression is widely confirmed in the later study of Hafer, Hein, and MacDonald (1992). Domian (1992) argues that money market mutual funds which are able to forecast interest rates should lengthen their maturities before a drop in rates, and shorten their maturities before a rise in rates.…”

Section: Introductionmentioning

confidence: 81%

Forecasting the past: the case of US interest rate forecasts

Spiwoks

Bedke

Hein

2008

Financ Mark Portf Manag

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This study evaluates the interest rate forecast efforts of U.S. banks, insurance companies, other financial service companies, research-and consulting institutes, associations, and industrial companies. Subjects of analysis are 10-year US-Government bond yield forecasts and 3-month US-Treasury bill rate forecasts for the period between October 1989 and December 2004. In total 134 forecasts time series with more than 14,000 forecast data are scrutinized. This makes it the most extensive analysis of interest rate forecasts so far. Forecast error measures are Theil's U 2 , TOTA coefficient, and the forecast quality matrix. All of the 134 forecast time series lag behind reality. Most of them prove to be inferior to the naïve forecast.KEY WORDS Interest rate forecasts, forecast accuracy, topically orientated trend adjustment behavior, quasi-naïve forecast

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Section: Introductionmentioning

confidence: 81%

Forecasting the past: the case of US interest rate forecasts

Spiwoks

Bedke

Hein

2008

Financ Mark Portf Manag

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“…It does seem, however, that these forecasts are not so flawed as to cause serious problems. While the "optimality" issue is not examined directly in this study, there is a growing literature which suggests that the Treasury-bill futures market is as an "optimal" forecasting vehicle [see, e.g., Cole et al (1991); Hafer et al (1992); Kamara (1990); MacDonald and Hein (1989) 51n addition to the use of daily futures rates, the behavior of intraday T-bill prices are examined. With the exception of the evidence reported in Table I, the examination of intraday data, as opposed to daily data, does not materially affect the central conclusions.…”

Section: Discussionmentioning

confidence: 99%

An empirical evaluation of treasury‐bill futures market efficiency: Evidence from forecast efficiency tests

MacDonald

Hein

1993

Journal of Futures Markets

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“…Test for unbiasedness Firstly, the test for unbiasedness will be used (see, for example, Hafer, Hein, and MacDonald, 1992, who apply the test for unbiasedness for futures market quotes, forward rates and survey forecasts for interest rates). Audretsch and Stadtmann (2005), Stadtmann (2009), Frenkel, Mauch, Rülke, et al (2017), as well as Ince and Molodtsova (2017) investigate whether survey forecasts are unbiased predictors of future FX rates and come to different conclusions.…”

Section: Rationality Of Foreign Exchange Forecastsmentioning

confidence: 99%

Predicting Exchange Rates in Asia: New Insights on the Accuracy of Survey Forecasts

Kunze

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates of the Chinese yuan, the Hong Kong dollar, the Japanese yen, and the Singapore dollar vis-à-vis the US dollar using common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing tests for unbiasedness and efficiency. All investigated forecasts are irrational in the sense that the predictions are biased. However, these results are inconsistent with an alternative measure of rationality based on methods of applied time series analysis. Investigating the order of integration of the time series and using cointegration analysis, empirical evidence supports the conclusion that the majority of forecasts are rational. Regarding forerunning properties of the predictions, the results are less convincing, with shorter term forecasts for the tightly managed USD/CNY FX regime being one exception. As one important evaluation result, it can be concluded, that the currency regime matters for the quality of exchange rate forecasts.JEL classification: F31, F37, G17, O24.

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Market and Survey Forecasts of the Three-Month Treasury-Bill Rate

Cited by 46 publications

References 10 publications

Forecasting the past: the case of US interest rate forecasts

Forecasting the past: the case of US interest rate forecasts

An empirical evaluation of treasury‐bill futures market efficiency: Evidence from forecast efficiency tests

Predicting Exchange Rates in Asia: New Insights on the Accuracy of Survey Forecasts

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