Zinsprognosen in Lateinamerika
Ibrahim Filiz, Jan René Judek, Marco Lorenz und Markus Spiwoks
sofia Diskussionsbeiträge 2020, No. 5 https://doi.org/10.46850/sofia.9783941627826
Wir untersuchen Zinsprognosen für die Geldmärkte in Argentinien, Brasilien, Chile, Mexiko und Venezuela, die im Zeitraum von 2001 bis 2019 in der Zeitschrift Latin American Consensus Forecasts veröffentlicht wurden. Insgesamt handelt es sich um 209 Zeitreihen mit 28.451 einzelnen Zinsprognosen. Diese Studie ist somit weitaus umfassender als alle Vorgängerstudien. Wir wenden den Diebold-Mariano-Test, den Vorzeichentest, den GOVA-Koeffizienten sowie den Test auf Unverzerrtheit an. Es zeigt sich, dass die Prognoseanstrengungen in Brasilien, Chile und Mexiko bemerkenswert erfolgreich sind. Die Prognosegüte in Argentinien und Venezuela bleibt deutlich dahinter zurück
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