Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/4222

Title: Forecasting changes in UK interest rates
Authors: Chevapatrakul, Thanaset
Kim, Tae-Hwan
Mizen, Paul
Issue Date: 2007
Publisher: © Loughborough University
Series/Report no.: Loughborough University. Department of Economics. Discussion Paper Series;WP 2007 - 26
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.
Description: This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2007_26.html
Version: Published
URI: https://dspace.lboro.ac.uk/2134/4222
ISSN: 1750-4171
Appears in Collections:Working Papers (Economics)

Files associated with this item:

File Description SizeFormat
ThanasetJOF.pdf373.3 kBAdobe PDFView/Open


SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.