Abstract This is the first study to examine the forecasting performance of the individual participants in the Blue Chip Financial Forecasts -a unique collection of cross-sectional time series survey data on interest rates and inflation. An empirical examination reveals that fed funds futures prices best predict the fed funds rate at very short horizons, and that survey forecasters are competitive at short horizon forecasts of short to medium maturity interest rates. The Diebold-Li model with VAR(3) dynamics, enhanced by shrinking the parameter estimates toward the long run mean using the Qrinkage estimator, emerges as the best performing model for long horizon forecasts of yields up to 2 years. For forecasting 5 and 10-year maturity yields, autoregressive Qrinkage models dominate. Individual survey forecasters, including the mean forecaster, do particularly well at forecasting inflation
