La pr vision des taux d int r t partir de contrats futures: l apport de variables conomiques et financi res

Jerome Coffinet

Working papers from Banque de France

Keywords: Monetary Policy; Interest Rate Forecast; Futures Contracts; Forecast Error; Risk Premia. (search for similar items in EconPapers)
JEL-codes: E43 E44 G13 (search for similar items in EconPapers)
Pages: 40 pages Abstract This study evaluates the predictive content of the 3-month Euribor contracts futures. We initially show that there is a forecast error on these contracts, on average positive and increasing with the forecast horizon. Then, we propose a method for correcting futures rates thanks to macroeconomic and financial variables. Finally, in the framework of an out-of-sample forecast exercise, we demonstate that corrected rates are better forecasts of future monetary policy path on the medium-term.
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:193

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