Working Paper Series no. 193: Forecasting interest rates with futures contracts using macroeconomic and financial variables (in French)

Abstract

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.

Jérôme Coffinet
January 2008

Classification JEL : E43, E44, G13.

Keywords : Monetary Policy, Interest Rate Forecast, Futures Contracts, Forecast Error, Risk Premia.