EconPapers    
Economics at your fingertips  
 

On the accuracy of Blue Chip forecasts of interest rates and country risk premiums

Hamid Baghestani, Mohammad Arzaghi () and Ilker Kaya

Applied Economics, 2015, vol. 47, issue 2, 113-122

Abstract: We examine the accuracy of Blue Chip forecasts of short- and long-term interest rates and country risk premiums for the Eurozone and six other industrial countries for 1999-2008. In so doing, we utilize comparable random walk forecasts as benchmarks. Consistent with the efficient market hypothesis, the long-term interest rate forecasts fail to outperform the random walk. Our findings on the accuracy of short-term interest rate forecasts are, however, mixed. Further results reveal that Blue Chip is more (less) accurate in predicting country risk premiums associated with short-term (long-term) interest rates. Such evidence is reasonable since the short-term country risk premiums contain only the perceived default risk, while the long-term risk premiums, in addition, can contain the perceived inflation and exchange rate differentials.

Date: 2015
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2014.959656 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:2:p:113-122

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Series data maintained by Chris Longhurst ().

 
Page updated 2017-12-25
Handle: RePEc:taf:applec:v:47:y:2015:i:2:p:113-122