Template-type: ReDIF-Paper 1.0
Author-Name: Alex Cukierman
Author-Name-First: Alex
Author-Name-Last: Cukierman
Author-Person: pcu20
Author-Name: Thomas Lustenberger
Author-Name-First: Thomas
Author-Name-Last: Lustenberger
Author-Person: plu399
Title: International Evidence on Professional Interest Rate Forecasts: The Impact of Forecasting Ability
Abstract: This paper develops a model of honest rational professional forecasters with different abilities and submits it to empirical verification using data on 3- and 12-months ahead forecasts of short-term interest rates and of long-term bond yields for up to 33 countries collected by Consensus Economics. The main finding is that in many countries, less-precise forecasters weigh public information more heavily than more-precise forecasters who weigh their own private information relatively more heavily. One implication of this result is that less-precise forecasters herd after more-precise forecasters even in the absence of strategic considerations. We also document differences between the average forecasting errors of more- and less-able forecasters as well as substantial correlations between the forecast errors of different forecasters.
Length: 38 pages
Creation-Date: 2018
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2018/working_paper_2018_10
File-Format: text/html
Number: 2018-10
Classification-JEL: E47, G17
Keywords: Forecasting interest rates and bond yields, impact of forecasting ability on forecast formation
Handle: RePEc:snb:snbwpa:2018-10