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Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts

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Forecast rationality and monetary policy frameworks : Evidence from UK interest rate forecasts. / Chortareas, Georgios; Jitmaneeroj, Boonlert; Wood, Andrew.

In: Journal of International Financial Markets, Institutions and Money, Vol. 22, No. 1, 02.2012, p. 209-231.

Research output: Contribution to journalArticle

Harvard

Chortareas, G, Jitmaneeroj, B & Wood, A 2012, 'Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts', Journal of International Financial Markets, Institutions and Money, vol. 22, no. 1, pp. 209-231. https://doi.org/10.1016/j.intfin.2011.09.002

APA

Chortareas, G., Jitmaneeroj, B., & Wood, A. (2012). Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts. Journal of International Financial Markets, Institutions and Money, 22(1), 209-231. https://doi.org/10.1016/j.intfin.2011.09.002

Vancouver

Chortareas G, Jitmaneeroj B, Wood A. Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts. Journal of International Financial Markets, Institutions and Money. 2012 Feb;22(1):209-231. https://doi.org/10.1016/j.intfin.2011.09.002

Author

Chortareas, Georgios ; Jitmaneeroj, Boonlert ; Wood, Andrew. / Forecast rationality and monetary policy frameworks : Evidence from UK interest rate forecasts. In: Journal of International Financial Markets, Institutions and Money. 2012 ; Vol. 22, No. 1. pp. 209-231.

Bibtex

@article{1f96b411087540238b6e46ab5ca5d7ec,
title = "Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts",
abstract = "We find evidence of heterogeneity and irrationality among professional forecasts for three-month inter-bank rates and ten-year gilt yields at both short and long forecast horizons over the period 1989-2006. The majority of biased forecasts overestimate the future spot rate, consistent with slow adjustment to the declining trend in inflation and interest rates. Furthermore, we produce evidence indicating that both monetary policy actions and elements of communication policy have information content regarding the rationality of forecasts. Changes in official bank rates and disagreement among the Monetary Policy Committee influence the rationality of forecasts. The publication of inflation reports has no effect.",
keywords = "Heterogeneity, Monetary policy frameworks, Rational Expectations, Survey forecasts, Term structure",
author = "Georgios Chortareas and Boonlert Jitmaneeroj and Andrew Wood",
year = "2012",
month = "2",
doi = "10.1016/j.intfin.2011.09.002",
language = "English",
volume = "22",
pages = "209--231",
journal = "Journal of International Financial Markets, Institutions and Money",
issn = "1042-4431",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Forecast rationality and monetary policy frameworks

T2 - Evidence from UK interest rate forecasts

AU - Chortareas, Georgios

AU - Jitmaneeroj, Boonlert

AU - Wood, Andrew

PY - 2012/2

Y1 - 2012/2

N2 - We find evidence of heterogeneity and irrationality among professional forecasts for three-month inter-bank rates and ten-year gilt yields at both short and long forecast horizons over the period 1989-2006. The majority of biased forecasts overestimate the future spot rate, consistent with slow adjustment to the declining trend in inflation and interest rates. Furthermore, we produce evidence indicating that both monetary policy actions and elements of communication policy have information content regarding the rationality of forecasts. Changes in official bank rates and disagreement among the Monetary Policy Committee influence the rationality of forecasts. The publication of inflation reports has no effect.

AB - We find evidence of heterogeneity and irrationality among professional forecasts for three-month inter-bank rates and ten-year gilt yields at both short and long forecast horizons over the period 1989-2006. The majority of biased forecasts overestimate the future spot rate, consistent with slow adjustment to the declining trend in inflation and interest rates. Furthermore, we produce evidence indicating that both monetary policy actions and elements of communication policy have information content regarding the rationality of forecasts. Changes in official bank rates and disagreement among the Monetary Policy Committee influence the rationality of forecasts. The publication of inflation reports has no effect.

KW - Heterogeneity

KW - Monetary policy frameworks

KW - Rational Expectations

KW - Survey forecasts

KW - Term structure

UR - http://www.scopus.com/inward/record.url?scp=83355166824&partnerID=8YFLogxK

U2 - 10.1016/j.intfin.2011.09.002

DO - 10.1016/j.intfin.2011.09.002

M3 - Article

AN - SCOPUS:83355166824

VL - 22

SP - 209

EP - 231

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

SN - 1042-4431

IS - 1

ER -

ID: 8636311