PT  - JOURNAL ARTICLE
AU  - Nicolas Papageorgiou
AU  - Frank S. Skinner
TI  - Predicting the Direction of Interest Rate Movements
AID  - 10.3905/jfi.2002.319314
DP  - 2002 Mar 31
TA  - The Journal of Fixed Income
PG  - 87--95
VI  - 11
IP  - 4
4099  - https://pm-research.com/content/11/4/87.short
4100  - https://pm-research.com/content/11/4/87.full
AB  - This research develops a simple probit model for predicting the direction of long-term interest rates. One variation uses the slope of the term structure, and another uses the forward rate as a predictor variable. Out-of-sample tests on Federal Reserve data indicate that for a one-month forecast horizon, the model correctly predicts the direction of 5-, 7-, 10-, and 30-year yields with more than 60% success. The success rate is nearly as good when we use data obtained from yield curve estimates. While these results are not good enough to be the sole determinant in bond investment strategies, the model can provide useful information.