How well do analysts forecast interest rates?

This paper examines interest rate forecasts made for the period 1982-90 and examines three issues: (1) Is there a general agreement among analysts about the level of interest rates six months in the future? (2) Are all the forecasters equally good? (3) Are the forecasts valuable to prospective users? The authors use distributions of the cross-sections of forecasts, Friedman’s statistic for analysis of variance by rank, and tests of independence between forecasts and outcomes to examine these questions. They conclude that there usually was a consensus among analysts, that there was no significant difference in the ability to forecast short-term rates but there was a difference with respect to the long-term predictions, and that these forecasts were not significantly better than random walk forecasts.