Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?

摘要: Abstract Interest rate forecasts are widely used in the international financial services industry. For decades, both practitioners and academic researchers question quality usefulness of forecasts. Survey predictions do not only deliver point but also allow to draw conclusions with regard variety provided by professional analysts. We evaluate interest for three months interbank UK (LIBOR) Germany (EURIBOR) as well corresponding 10Y government bond yields using root mean squared error Theil’s U measure apply models time series analysis (i.e. cointegration causality analysis). Finally, we check possible implications from uncertainty measures High-Low-Spread forecast errors) structural breaks. able find some links real economy. Applying our methodological approach times uncertainty.