Published in:Banque de France Working Paper ; No. 193
Extent:
1 Online-Ressource (44 p)
Language:
English
DOI:
10.2139/ssrn.1680374
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2008 erstellt
Description:
This study evaluates the predictive content of the 3-month Euribor contracts futures. We initially show that there is a forecast error on these contracts, on average positive and increasing with the forecast horizon. Then, we propose a method for correcting futures rates thanks to macroeconomic and financial variables. Finally, in the framework of an out-of-sample forecast exercise, we demonstrate that corrected rates are better forecasts of future monetary policy path on the medium-term