Business Economics

, Volume 40, Issue 2, pp 36–40 | Cite as

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

Other Survey Information Can Help
  • Hamid Baghestani
Article

Abstract

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.

Keywords

forecast interest rates T-bills 

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Copyright information

© National Association for Business Economics 2005

Authors and Affiliations

  • Hamid Baghestani
    • 1
  1. 1.American University

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