Experience In Combining Subjective And Quantitative Forecas

It is well known that the financial institutions operating on the open market need reliable forecasts of the average daily interest rates (overnight) guaranteed by the purchase and sale of Indexed National Treasury Bonds (ORTN) and National Treasury Bills (LTN). However, overnight rates are a diffic...

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Bibliographic Details
Published in:Journal of forecasting 1989-07, Vol.8 (3), p.343
Main Authors: Pereira, Basilio de Braganca, Coqueiro, Ricardo Cesar Otero, Perrota, Antonio Horacio Vincente
Format: Article
Language:English
Subjects:
Combination
Forecasting techniques
Open market operations
Subjective
Online Access:Get full text
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Summary:It is well known that the financial institutions operating on the open market need reliable forecasts of the average daily interest rates (overnight) guaranteed by the purchase and sale of Indexed National Treasury Bonds (ORTN) and National Treasury Bills (LTN). However, overnight rates are a difficult series to predict. Basically, the mechanism that governs their level consists of the resolutions taken by the central bank, seasonal behavior, and other factors that affect the influx and outflow of the systems's resources. A method is proposed for combining subjective information from open-market operators with results from a time-series forecasting model. The method is applied to the series of average daily rates guaranteed by the purchase and sale of ORTNs and LTNs. The forecasts match the series quite closely, even in the cases of unusual peaks.
ISSN:0277-6693
1099-131X