The Library
Federal funds rate prediction
Tools
Sarno, Lucio, Thornton, Daniel L. and Valente, Giorgio (2004) Federal funds rate prediction. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.458).
|
PDF
WRAP_Sarno_CEPR-DP4587[1].pdf - Requires a PDF viewer. Download (292Kb) |
Official URL: http://www.cepr.org/pubs/new-dps/dplist.asp?dpno=4...
Abstract
We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF) rate recently proposed in the literature. We find that: (i) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate; (ii) the best forecasting model is a simple univariate model where the future FF rate is forecast using the current difference between the FF rate and its target; (iii) combining the forecasts from various models generally yields modest improvements on the best performing model. These results have a natural interpretation and clear policy implications.
Item Type: | Working or Discussion Paper (Discussion Paper) | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Library of Congress Subject Headings (LCSH): | Federal funds market (United States), Economic forecasting -- United States, Nonlinear theories, Time-series analysis | ||||
Series Name: | Discussion paper (Centre for Economic Policy Research (Great Britain)) | ||||
Publisher: | Centre for Economic Policy Research (Great Britain) | ||||
Place of Publication: | London | ||||
Official Date: | September 2004 | ||||
Dates: |
|
||||
Number: | No.458 | ||||
Number of Pages: | 35 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |