The Rationality of Federal Funds Rate Expectations: Evidence from a Survey: A Note

David P Simon

Journal of Money, Credit and Banking, 1989, vol. 21, issue 3, 388-93

Abstract: This study finds that expectations of two-week maintenance period average federal funds rates, as measured by the Money Market Services survey from March 1984 to November 1987, are biased, only marginally outperform random walk forecasts, and have forecast errors that are correlated with in-sample information. However, these results are tempered by findings that the survey forecasts incorporate the information in out-of-sample ARIMA forecasts, although the latter are less accurate than random walk forecasts. In addition, the accuracy of the survey forecasts increases for maintenance periods in which the discount rate changes. Copyright 1989 by Ohio State University Press.

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:21:y:1989:i:3:p:388-93

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