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- W2010128223 abstract "We examine the accuracy of Blue Chip forecasts of short- and long-term interest rates and country risk premiums for the Eurozone and six other industrial countries for 1999–2008. In so doing, we utilize comparable random walk forecasts as benchmarks. Consistent with the efficient market hypothesis, the long-term interest rate forecasts fail to outperform the random walk. Our findings on the accuracy of short-term interest rate forecasts are, however, mixed. Further results reveal that Blue Chip is more (less) accurate in predicting country risk premiums associated with short-term (long-term) interest rates. Such evidence is reasonable since the short-term country risk premiums contain only the perceived default risk, while the long-term risk premiums, in addition, can contain the perceived inflation and exchange rate differentials." @default.
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- W2010128223 date "2014-11-12" @default.
- W2010128223 modified "2023-09-26" @default.
- W2010128223 title "On the accuracy of Blue Chip forecasts of interest rates and country risk premiums" @default.
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- W2010128223 doi "https://doi.org/10.1080/00036846.2014.959656" @default.
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