Bulletin No. 262, article 1. Bank lending rates directly influence economic decisions. It is therefore essential to have reliable forecasts of how they will evolve. This article presents an effective method for forecasting new lending rates for households and businesses in France and the euro area. It is based on an autoregressive model augmented with the predictive content of market interest rates at different horizons, which reflect expectations of future short-term rates. Incorporating this information improves the accuracy of forecasts by an average of 36% …