Forecasting Changes in UK Interest Rates

Thanaset Chevapatrakul (), Tae-Hwan Kim () and Paul Mizen

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: Making accurate forecasts of the future direction of interest rates is a vital element when making economic decisions. The focus on central banks as they make decisions about the future direction of interest rates requires the forecaster to assess the likely outcome of comittee decisions based on new information since the previous meeting. We characterize this process as a dynamic ordered probit process that uses information to decide between three possible outcomes for interest rates: an increase, decrease or no-change. When we analyze the predictive ability of two information sets, we find that the approach has predictive ability both in-sample and out-of-sample that helps forecast the direction of future rates.

Keywords: Interest rates; monetary policy; Bank of England (search for similar items in EconPapers)
JEL-codes: E47 E52 (search for similar items in EconPapers)
Date: 2007-11, Revised 2007-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/ThanasetJOF.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/ThanasetJOF.pdf [301 Moved Permanently]--> https://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/ThanasetJOF.pdf)

Related works:
Journal Article: Forecasting changes in UK interest rates (2008)
Working Paper: Forecasting Changes in UK Interest Rates (2007)
Working Paper: Forecasting changes in UK interest rates (2006)
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:lbo:lbowps:2007_26

Access Statistics for this paper

More papers in Discussion Paper Series from Department of Economics, Loughborough University Contact information at EDIRC.
Bibliographic data for series maintained by Huw Edwards ().