Work detail

Evaluation of interest rates predictions: The case of Czech National Bank

Author: Mgr. Josef Boček
Year: 2013 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 76
Awards and prizes:
Link:
Abstract: This research focuses mainly on the evaluation of interest rates predictions (predictions of 3M PRIBOR
rate) published by Czech national bank. In the first part of the thesis reasons and potential central bank´s
benefits of the publishing of interest rate predictions are presented, based on the current academic
literature. In the next chapters econometric and non-econometric evaluation of Czech national bank
forecasts is provided. Furthermore, predictions from Czech Treasury, random walk process and my own
autoregressive and vector autoregressive predictions were evaluated as well. It has been concluded that
Czech national bank produces and publishes the most accurate based on non-econometric and
econometric evaluation of all examined predictions. Moreover during the F-test evaluation procedure,
the forecasts of Czech national bank proved themselves to be unbiased for the longest time horizon of all
examined predictions.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance