Qualität der Zinsprognosen deutscher Banken
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Qualität der Zinsprognosen deutscher Banken
Eine empirische Analyse
Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 3 : pp. 289–308
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Markus Spiwoks, Wolfsburg
References
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Abstract
Quality of Interest Rate Forecasts by German Banks
An Empirical Analysis
Interest rate forecasts play an important role for many segments of the banking business. However, an evaluation of historical time series of interest rate forecasts done by 19 prominent German banks nurtures substantial doubts about the success of the efforts made for forecasting future interest rate trends. This article analyses the yield forecasts of DM-denominated government bonds with a tenyear residual lifetime between October 1989 and December 1999. To measure the forecasting quality, this article uses the forecasting quality matrix based on Theil’s (“new”) inequality coefficient (U;) and the topical oriented trend adjustment coefficient. It has turned out that the 19 time series of twelve-month and the 19 time series of three-month interest rate forecasts ought to be subsumed under the category of quasi-naive forecasts and that they are thus inappropriate as a basis for decision-making.