Cover; Half Title; Title Page; Copyright Page; Original Title Page; Original Copyright Page; Dedication; Table of Contents; Preface; List of Illustrations; List of Tables; List of Abbreviations; I. Introduction; Purpose and Scope; Research Methods; Delimitations; Limitations; Structure of the Book; II. The Folly of Forecasting; The Record of the Experts; Benchmark Measures; The Naive Approach; Expectations and the Term Structure; Expectations and the Futures Market; The Stumbling Block of Market Efficiency; The Forecaster's Paradox; The Fallacy of Omission
Toward a Redefinition of the ProblemIII. The Interest Rate Cycle; Elements of a Cycle; Other Major Moves; I Know One When I See One -- Shooting in the Dark; What is the Interest Rate Cycle?; The Composite Interest Rate Cycle Index; Construction of the Index; Standardization; Trend Elimination; Index Cumulation; Identification of Peaks and Troughs; In Search of a Method; The Guiding Light of Monetary Policy; Selection Rules and Results; Birds of a Feather; Summary; IV. Benchmark Turning Point Forecasts; The Naive Filter; Tuning in the Signal; Scoring the Benchmark Forecasts; A Broader Scope
v. Selecting a Leading IndicatorFactors Affecting Interest Rates; The Wicksellian Theory of Loanable Funds; The Gibson Paradox and the Fisher Effect; The Inflation-Interest Rate Link; Measuring the Theory; The Fisher Equations; The Loanable Funds Model; Selectinga Leading Indicator; How to Pick a Winner; The Leading Inflation Index; VI. Sequential Filter Turning Point Forecasts; In Search of a Signal; Sequential Analysis to the Rescue; Applying Neftci's Algorithm; The Framework; The Model; Application to the Interest Rate Cycle; Conditional Probability Distributions; Pick Your Poison
Empirical ResultsComparison with Benchmark Forecasts; Asleep at the Switch?; Twice as Nice; State of Rates Recognition; The Current State of Rates; Keeping in Touch; VII. Summary and Conclusions; The Model and the Test; Specific Findings; Conclusions; Suggestions for Further Research; Afterword; Bibliography; Index
Summary
Originally published in 1994 and the recipient of the Stonier Library Award, this volume evaluates an alternative approach - the sequential filter- to managing the uncertainty inherent in the future course of the interest rate cycle. The specific hypothesis is that the sequential filter can produce valuable signals of cyclical peaks and troughs in interest rates. The analysis focusses on US interest rates from April 1953 to December 1988
