How informative are interest rate survey-based forecasts?
Autor(a) principal: | |
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Data de Publicação: | 2008 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | BAR - Brazilian Administration Review |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922008000400005 |
Resumo: | This paper studies the information content of survey-based predictions for the Brazilian short-term interest rate. We perform vector autoregression analysis to test for the dynamic relationship between market expectations of interest rates and spot interest rates, and a single regression forecasting approach. Empirical results suggest that surveys may be useful in assessing market expectations (contain relevant information) and in building Central Bank credibility. Within an inflation targeting framework they are crucial in order to receive timely feedback on market sentiment regarding the conduct of monetary policy. |
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BAR - Brazilian Administration Review |
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How informative are interest rate survey-based forecasts?interest rate forecastingshort-term interest ratesurvey-based predictionsThis paper studies the information content of survey-based predictions for the Brazilian short-term interest rate. We perform vector autoregression analysis to test for the dynamic relationship between market expectations of interest rates and spot interest rates, and a single regression forecasting approach. Empirical results suggest that surveys may be useful in assessing market expectations (contain relevant information) and in building Central Bank credibility. Within an inflation targeting framework they are crucial in order to receive timely feedback on market sentiment regarding the conduct of monetary policy.ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração2008-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922008000400005BAR - Brazilian Administration Review v.5 n.4 2008reponame:BAR - Brazilian Administration Reviewinstname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)instacron:ANPAD10.1590/S1807-76922008000400005info:eu-repo/semantics/openAccessFeitosa,Mateus ATabak,Benjamin Meng2009-09-25T00:00:00Zoai:scielo:S1807-76922008000400005Revistahttp://www.scielo.br/scielo.php?script=sci_serial&pid=1807-7692&lng=pt&nrm=isohttps://old.scielo.br/oai/scielo-oai.php||bar@anpad.org.br1807-76921807-7692opendoar:2009-09-25T00:00BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)false |
dc.title.none.fl_str_mv |
How informative are interest rate survey-based forecasts? |
title |
How informative are interest rate survey-based forecasts? |
spellingShingle |
How informative are interest rate survey-based forecasts? Feitosa,Mateus A interest rate forecasting short-term interest rate survey-based predictions |
title_short |
How informative are interest rate survey-based forecasts? |
title_full |
How informative are interest rate survey-based forecasts? |
title_fullStr |
How informative are interest rate survey-based forecasts? |
title_full_unstemmed |
How informative are interest rate survey-based forecasts? |
title_sort |
How informative are interest rate survey-based forecasts? |
author |
Feitosa,Mateus A |
author_facet |
Feitosa,Mateus A Tabak,Benjamin M |
author_role |
author |
author2 |
Tabak,Benjamin M |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Feitosa,Mateus A Tabak,Benjamin M |
dc.subject.por.fl_str_mv |
interest rate forecasting short-term interest rate survey-based predictions |
topic |
interest rate forecasting short-term interest rate survey-based predictions |
description |
This paper studies the information content of survey-based predictions for the Brazilian short-term interest rate. We perform vector autoregression analysis to test for the dynamic relationship between market expectations of interest rates and spot interest rates, and a single regression forecasting approach. Empirical results suggest that surveys may be useful in assessing market expectations (contain relevant information) and in building Central Bank credibility. Within an inflation targeting framework they are crucial in order to receive timely feedback on market sentiment regarding the conduct of monetary policy. |
publishDate |
2008 |
dc.date.none.fl_str_mv |
2008-12-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922008000400005 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922008000400005 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S1807-76922008000400005 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração |
publisher.none.fl_str_mv |
ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração |
dc.source.none.fl_str_mv |
BAR - Brazilian Administration Review v.5 n.4 2008 reponame:BAR - Brazilian Administration Review instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) instacron:ANPAD |
instname_str |
Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
instacron_str |
ANPAD |
institution |
ANPAD |
reponame_str |
BAR - Brazilian Administration Review |
collection |
BAR - Brazilian Administration Review |
repository.name.fl_str_mv |
BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
repository.mail.fl_str_mv |
||bar@anpad.org.br |
_version_ |
1754209122932228096 |