UNSPECIFIED (2005) Federal funds rate prediction. JOURNAL OF MONEY CREDIT AND BANKING, 37 (3). pp. 449-471. ISSN 0022-2879

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Abstract

We examine the forecasting performance of a range of time-series models of the daily U.S. effective federal funds (FF) rate recently proposed in the literature. We find that: (1) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate, (2) 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, and (3) 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:	Journal Article
Subjects:	H Social Sciences > HG Finance H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	JOURNAL OF MONEY CREDIT AND BANKING
Publisher:	OHIO STATE UNIV PRESS
ISSN:	0022-2879
Date:	June 2005
Volume:	37
Number:	3
Number of Pages:	23
Page Range:	pp. 449-471
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/6889

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