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- W1925128412 abstract "In this paper, we examine the point and density forecast accuracy of econometric models, surveys and futures rates in predicting the LIBOR‐Federal Funds Rate (LIBOR‐FF) spread during and after the financial crisis. We provide evidence that the futures market forecast outperforms all competing forecasts during and after the financial crisis and that its predictive density is well calibrated. Our results also suggest that the predictive accuracy of the econometric models improves in the post‐crisis period. We argue that the post‐2009 improvement in the econometric models' forecasts is attributable to the absence of LIBOR manipulation. The economic significance of the uncovered predictability is assessed using a trading strategy. Our results suggest that trading based on the futures market and econometric forecasts generates positive risk‐adjusted returns. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:345–374, 2016" @default.
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- W1925128412 date "2015-08-06" @default.
- W1925128412 modified "2023-09-26" @default.
- W1925128412 title "Forecasting the LIBOR-Federal Funds Rate Spread During and After the Financial Crisis" @default.
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- W1925128412 doi "https://doi.org/10.1002/fut.21737" @default.
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