Purpose

This paper aims to assess the quality of interest rate forecasts for the money markets in Argentina, Brazil, Chile, Mexico and Venezuela for the period between 2001 and 2019. Future interest rate trends are of key significance for many business-related decisions. Thus, reliable interest rate forecasts are essential, for example, for banks that make profits by carrying out maturity transformations.

Design/methodology/approach

The data that we analyze were collected by Consensus Economics through a monthly survey with over 120 renowned economists and were published between 2001 and 2019 in the journal Latin American Consensus Forecasts. The authors use the Diebold-Mariano test, the sign accuracy test, the TOTA coefficient and the unbiasedness test to determine the precision and biasedness of the forecasts.

Findings

The research reveals that the forecasting work carried out in Brazil, Chile and Mexico is remarkably successful. The quality of forecasts from Argentina and Venezuela, on the other hand, is significantly poorer.

Originality/value

Over 50 studies have already been published with regard to the accuracy of interest rate forecasts, emphasizing the importance of the topic. However, interest rate forecasts for Latin American money markets have hardly been considered thus far. The paper closes this research gap. Overall, the analyzed database amounts to a total of 209 forecast time series with 28,451 individual interest rate forecasts. This study is thus far more comprehensive than all previous studies.

中文翻译：

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拉丁美洲的利率预测

目的

本文旨在评估 2001 年至 2019 年期间阿根廷、巴西、智利、墨西哥和委内瑞拉货币市场的利率预测质量。未来利率趋势对许多与商业相关的决策具有关键意义。因此，可靠的利率预测是必不可少的，例如，对于通过执行期限转换来获利的银行来说。

设计/方法/方法

我们分析的数据是由 Consensus Economics 通过对 120 多位著名经济学家进行的月度调查收集的，并于 2001 年至 2019 年期间发表在《拉丁美洲共识预测》杂志上。作者使用 Diebold-Mariano 检验、符号准确度检验、TOTA 系数和无偏性检验来确定预测的精度和有偏性。

发现

研究表明，在巴西、智利和墨西哥开展的预测工作非常成功。另一方面，阿根廷和委内瑞拉的预测质量明显较差。

原创性/价值

已经发表了 50 多项关于利率预测准确性的研究，强调了该主题的重要性。然而，迄今为止几乎没有考虑过对拉丁美洲货币市场的利率预测。该论文填补了这一研究空白。总体而言，分析的数据库共有 209 个预测时间序列和 28,451 个单独的利率预测。因此，这项研究比以前的所有研究都要全面得多。