Please use this identifier to cite or link to this item:
|Title:||Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts||Authors:||Chortareas, G.
|Keywords:||Heterogeneity;Monetary policy frameworks;Rational Expectations;Survey forecasts;Term structure||Issue Date:||2012||Publisher:||Scopus
University of the Thai Chamber of Commerce
|Source:||G. Chortareas, B. Jitmaneeroj, A. Wood (2012) Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts. Journal of International Financial Markets, Institutions and Money Vol.22 No.1.||Abstract:||We find evidence of heterogeneity and irrationality among professional forecasts for threemonth interbank rates and tenyear gilt yields at both short and long forecast horizons over the period 19892006. The majority of biased forecasts overestimate the future spot rate, consistent with slow adjustment to the declining trend in inflation and interest rates. Furthermore, we produce evidence indicating that both monetary policy actions and elements of communication policy have information content regarding the rationality of forecasts. Changes in official bank rates and disagreement among the Monetary Policy Committee influence the rationality of forecasts. The publication of inflation reports has no effect.||URI:||https://scholar.utcc.ac.th/handle/6626976254/3528||Rights:||This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.|
|Appears in Collections:||RSO: Journal Articles|
Show full item record Recommend this item
checked on Jul 11, 2019
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.