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Improving the Accuracy of Recent Survey Forecasts of the T-bill Rate

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  • Hamid Baghestani

Abstract

This study concentrates on the Survey of Professional Forecasters (SPF) to demonstrate a way to improve the consensus forecasts of interest rates. It promotes the notion that, in improving the survey forecast accuracy of a variable, one should investigate the usefulness of the predictive information contained in the survey forecasts of other theoretically relevant variables. This idea has been applied to the SPF forecasts of the 3-month Treasury-bill rate, which are shown to be one-sided for 2001.1-2003.4. We improve the accuracy of these forecasts by exploiting the predictive information contained in the SPF forecasts of inflation and output growth. We thus recommend that the possible improvement should be investigated before such interestrate forecasts are utilized for decision-making.Business Economics (2005) 40, 36–40; doi:10.2145/20050204

Suggested Citation

  • Hamid Baghestani, 2005. "Improving the Accuracy of Recent Survey Forecasts of the T-bill Rate," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 40(2), pages 36-40, April.
    • Handle: RePEc:pal:buseco:v:40:y:2005:i:2:p:36-40
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    Cited by:

    1. Hamid Baghestani, 2022. "Mortgage rate predictability and consumer home-buying assessments," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 593-603, July.
    2. Esteban Vanegas & Andrés Mora-Valencia, 2025. "Skew Index: a machine learning forecasting approach," Risk Management, Palgrave Macmillan, vol. 27(1), pages 1-60, January.
    3. Hamid Baghestani, 2017. "Do US consumer survey data help beat the random walk in forecasting mortgage rates?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343017-134, January.

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