Consensus vs. Time‐series Forecasts of US 30‐year Home Mortgage Rates

References

• Batchelor , R. 2001 . How Useful are the Forecasts of Intergovernmental Agencies? The IMF and OECD Versus the Consensus . Applied Economics , 33 (2) : 225 – 235 .
   Google Scholar
• Batchelor , R. and Dua , P. 1991 . Blue Chip Rationality Tests . Journal of Money, Credit, and Banking , 23 (4) : 692 – 705 .
   Google Scholar
• Brooks , R. and Gray , J. B. 2004 . History of the Forecasters: Naïve Forecasts are Better than the Consensus WSJ Forecast . Journal of Portfolio Management , 31 (1) : 113 – 117 .
   Google Scholar
• Darrat , A. F. , Dickens , R. N. and Al‐Khazali , O. 2006 . Interactions between Mortgage and Other Capital Markets in the USA: Has Financial Deregulation Made a Difference? . Applied Financial Economics , 16 (4) : 335 – 345 .
   Google Scholar
• Dickey , D. A. and Fuller , W. A. 1981 . Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root . Econometrica , 49 (4) : 1057 – 1072 .
   Web of Science ®Google Scholar
• Fair , R. C. and Shiller , R. J. 1990 . Comparing Information in Forecasts from Econometric Models . American Economic Review , 80 (3) : 375 – 389 .
   Google Scholar
• Fauvel , Y. , Paquete , A. and Zimmermann , C. 1999 . “ A Survey on Interest Rate Forecasting ” . Center for Research of Economic Fluctuation and Employment, University of Quebec at Montreal: Working Paper No. 87
   Google Scholar
• He , L. T. 2007 . Does Prepayment Risk of Mortgages Affect Excess Returns of Bank Stocks? . Business Economics , 42 (1) : 45 – 52 .
   Google Scholar
• Joutz , F. and Stekler , H. O. 2000 . An Evaluation of the Predictions of the Federal Reserve . International Journal of Forecasting , 16 (1) : 17 – 38 .
   Google Scholar
• Kolb , R. A. and Stekler , H. O. 1996 . How Well do Analysts Forecast Interest Rates? . Journal of Forecasting , 15 (5) : 385 – 394 .
   Google Scholar
• Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root . Journal of Econometrics , 54 (2) : 159 – 178 .
   Google Scholar
• Newey , W. K. and West , K. D. 1987 . A Simple, Positive Semi‐definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix . Econometrica , 55 (3) : 703 – 708 .
   Web of Science ®Google Scholar
• Pesando , J. E. 1979 . On the Random Walk Characteristics of Short‐ and Long‐term Interest Rates in an Efficient Market . Journal of Money, Credit, and Banking , 11 (4) : 457 – 466 .
   Google Scholar
• Pesando , J. E. 1980 . On Forecasting Long‐term Interest Rates: Is the Success of the No‐change Prediction Surprising? . Journal of Finance , 35 (4) : 1045 – 1047 .
   Google Scholar
• Pianalto , S. 2004 . “ A Perspective on Monetary Policy ” . In Economic Commentary 1 – 4 . Federal Reserve Bank of Cleveland (May 1)
   Google Scholar
• Reichenstein , W. 1989 . Martingales and Efficient Forecasts of Effective Mortgage Rates . Journal of Real Estate Finance and Economics , 2 (4) : 317 – 330 .
   Google Scholar
• Reichenstein , W. 2006 . Rationality of Naïve Forecasts of Long‐term Rates . Journal of Portfolio Management , 32 (2) : 116 – 119 .
   Google Scholar
• Reichenstein , W. and Shetty , S. 1993 . Rationality of No‐change Forecasts of US Treasury Interest Rates . Advances in Quantitative Analysis of Finance and Accounting , 2 (Part A) : 93 – 103 .
   Google Scholar
• Romer , C. D. and Romer , D. H. 2000 . Federal Reserve Information and the Behavior of Interest Rates . American Economic Review , 90 (3) : 429 – 457 .
   Google Scholar
• Shin , Y. 1994 . A Residual‐based Test of the Null of Cointegration Against the Alternative of No Cointegration . Econometric Theory , 10 (1) : 95 – 115 .
   Google Scholar
• Wooldridge , J. M. 2003 . Introductory Econometrics: A Modern Approach South‐Western College Publications, Mason, OH
   Google Scholar