How well do experts predict interbank loan rates and spreads?

Hamid Baghestani

Economics Letters, 2010, vol. 109, issue 1, 4-6

Abstract: This study examines Blue Chip forecasts of the 3-month London interbank offered rate (LIBOR), federal funds rate (FFR), and LIBOR-FFR for 1988-2008. We show that the interest rate (spread) forecasts, while directionally accurate, imply asymmetric (symmetric) loss.

Keywords: Blue; Chip; survey; LIBOR; Federal; funds; Directional; accuracy; Asymmetric; or; symmetric; loss (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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