Federal funds rate prediction
UNSPECIFIED. (2005) Federal funds rate prediction. JOURNAL OF MONEY CREDIT AND BANKING, 37 (3). pp. 449-471. ISSN 0022-2879Full text not available from this repository.
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|
|Official Date:||June 2005|
|Number of Pages:||23|
|Page Range:||pp. 449-471|
Actions (login required)