| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15039 |
| DP15039 Uncertainty and dispersion in professional interest rate forecasts: International evidence and theory | |
| Alex Cukierman; Thomas Lustenberger | |
| 发表日期 | 2020-07-14 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We examine the cross-country relationships between measures of forecast uncertainty, forecast dispersion across individual forecasters and the variabilities of short-term interest rates and long-term yields. The main findings are: (i) Forecast uncertainty and forecast dispersion are positively and significantly related across countries for both short-term interest rates and long-term yields. (ii) A positive, albeit weaker, relation is found between forecast uncertainty and interest rate variability. (iii) Forecast dispersion of short-term interest rates and rates' variability are also positively associated. The evidence is followed by a Bayesian learning model that discusses conditions under which the results above are implied by theory. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Forecast dispersion Uncertainty Variability Private noisy information Public information |
| URL | https://cepr.org/publications/dp15039 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543990 |
| 推荐引用方式 GB/T 7714 | Alex Cukierman,Thomas Lustenberger. DP15039 Uncertainty and dispersion in professional interest rate forecasts: International evidence and theory. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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