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Download fileForecasting changes in UK interest rates
preprint
posted on 2009-02-12, 13:12 authored by Thanaset Chevapatrakul, Tae-Hwan Kim, Paul MizenMaking 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.
History
School
- Business and Economics
Department
- Economics
Publisher
© Loughborough UniversityVersion
- VoR (Version of Record)
Publication date
2007Notes
This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2007_26.htmlISSN
1750-4171Book series
Loughborough University. Department of Economics. Discussion Paper Series;WP 2007 - 26Language
- en