PT  - JOURNAL ARTICLE
AU  - William R Reichenstein
TI  - Rationality of Naive Forecasts of Long-Term Rates
AID  - 10.3905/jpm.2006.611812
DP  - 2006 Jan 31
TA  - The Journal of Portfolio Management
PG  - 116--119
VI  - 32
IP  - 2
4099  - https://pm-research.com/content/32/2/116.short
4100  - https://pm-research.com/content/32/2/116.full
AB  - Brooks and Gray in the Fall 2004 JPM examined the accuracy of economists' long-term interest rate forecasts in Wall Street Journal surveys. They concluded that no-change naive forecasts were better than the consensus WSJ forecasts. In fact, no-change forecasts are not naive forecasts but instead rational economic forecasts. We should thus extend the Brooks and Gray conclusions that no-change forecasts are better than economists' consensus forecasts of the long-term Treasury rate to other long-term interest rates.TOPICS: Information providers/credit ratings, interest-rate and currency swaps