A note on the directional accuracy of interest-rate forecasts

Christian Pierdzioch

Applied Economics Letters, 2015, vol. 22, issue 13, 1073-1077

Abstract: I use data from the Livingston survey to study the informational content of forecasts with respect to the direction of subsequent changes in short-term and long-term interest rates. Using techniques developed to analyse relative operating characteristic (ROC) curves, I find that interest-rate forecasts often contain useful information with respect to the direction of future changes in interest rates.

Date: 2015
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DOI: 10.1080/13504851.2014.1000516

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