In this research, we examine the point and density forecast accuracy of econometric models, surveys and futures rates in predicting the LIBOR-Federal Funds Rate (LIBOR-FF) spread during and after the financial crisis. We provide evidence that the futures market forecast outperforms all competing forecasts during and after the financial crisis and that its predictive density is well calibrated. Our results also suggest that the predictive accuracy of the econometric models improves in the post-crisis period. We argue that the post-2009 improvement in the econometric models' forecasts is attributable to the absence of LIBOR manipulation. The economic significance of the uncovered predictability is assessed using a trading strategy. Our results suggest that trading based on the futures market and econometric forecasts generates positive risk-adjusted returns.
| First name | Last name | Gender | Rank | Affiliated Institution | Country |
|---|---|---|---|---|---|
| Ibrahim | Jamali | Male | American University of Beirut | Lebanon | |
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Bio: Dr. Jamali is an Associate Professor of Finance at the Olayan School of Business of the American University of Beirut. He completed his Bachelor of Arts in Economics at the American University of Beirut. He then earned his M.A. and PhD in economics at Concordia University in Montreal, Canada. Dr. Jamali’s research centers on futures (and forwards) markets and predictability in asset markets. His research appeared in journals such as the Journal of Empirical Finance, Journal of Futures Markets and European Financial Management. Dr. Jamali’s research has also been featured in the Wall Street Journal and on Risk.net (centralbanking.com). His policy research has been featured in the local media (L'Orient le Jour and Al-Akhbar) and published in the World Bank's economic monitors, the International Monetary Fund’s country reports as well as in local policy research outlets. Dr. Jamali was an invited speaker to a number of national and international conferences/workshops and is a regular participant in international academic conferences. He previously worked as an economist at the World Bank. |
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| Wassim | Dbouk | Male | American University of Beirut | Lebanon | |
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Bio: Dr. Dbouk joined AUB in year 2007 as an assistant professor of finance. Along his journey with AUB, he developed expertise in research, teaching, and service. His research focuses on the fields of equity, fixed income investments, banking, and supply chain finance. He published in reputable journals, such as “The European Journal of Finance,” “International Review of Financial Analysis,” "Journal of Futures Markets" and “Research in International Business and Finance.” His papers rely on advanced quantitative skills and forecasting techniques and delve into the financial markets of the Arab world as well as the US financial markets. His papers deal with topics such as: the optimal size of bond portfolios, bond index revisions, January effect in the corporate bond markets, and liquidity creation in the banking sector. His teaching interests vary across a wide spectrum of courses and programs. He has been teaching at the undergraduate, graduate, and executive levels. His main teaching interests evolve around corporate finance, valuation, financial modeling, and commercial bank management courses. Also, he has been involved in external education where he gave many workshops to executives from Lebanon and the Arab world. In 2012, he became the Founding Coordinator for AUB's Master of Finance Program. His mentoring and coaching efforts contributed to CFA Research Challenge teams that were local winners in 2012 and 2013. More recently, Dr. Dbouk has been instrumental in designing and launching the Investment Management Program at AUB. |
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| Lawrence | Kryzanowski | Male | Canada | ||
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Bio: Dr. Kryzanowski is Professor and Senior Concordia University Research Chair in Finance (formerly Ned Goodman Chair in Investment Finance), Department of Finance. He has published, consulted or appeared as an expert witness dealing with: impact of alleged financial misrepresentations on market prices; rate of return and capital structure of regulated utilities; management of investments for institutions and individuals; capital market trading; financial services; mergers/acquisitions/reorganizations; new corporate and governmental financings; and risk management. He was the founding chairperson/promoter in1988 of the Northern Finance Association. He continues to be a Governor Emeritus at Concordia University; an Advisory Editor with the European Journal of Finance; Associate Editor with The International Review of Financial Analysis and Frontier of Finance and Economics; and Editorial Board Member with Canadian J.of Administrative Sciences, Managerial Finance, Studies in Economics and Finance, and Finance India. He is a former President of the Multinational Finance Society. |
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Website |
Scientific field
Business & Public administration
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Start Year2014
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End Year 2015
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Business administration Business analysis Information systems (Business informatics) Management information systems Management
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