| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w0410
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| 来源ID | Working Paper 0410
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| On Forecasting Interest Rates: An Efficient Markets Perspective |
| James E. Pesando
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| 发表日期 | 1979-11-01
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| 出版年 | 1979
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| 语种 | 英语
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| 摘要 | This paper reviews, from an applied forecasting perspective, the properties of short- and long-term interest rates in an efficient market. The paper emphasizes that efficient markets do not preclude economic agents from successfully forecasting movements in short-term interest rates. For brief forecast intervals, however, ex ante changes in long-term rates are sufficiently close to zero that economic agents are not likely to improve upon the no-change prediction of the martingale model. Economic agents, in effect, are not likely to succeed in forecasting short-term movements in long-term interest rates. An analysis of three sets of Canadian interest rate forecasts provides results which are consistent with the theoretical discussion, Further, these results parallel those obtained in recent studies of recorded forecasts in the United States, although the authors of these latter studies apparently failed to appreciate the nature of their findings. |
| URL | https://www.nber.org/papers/w0410
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557586
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推荐引用方式
GB/T 7714 |
James E. Pesando. On Forecasting Interest Rates: An Efficient Markets Perspective. 1979.
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文件名：
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w0410.pdf
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格式：
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Adobe PDF
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