The Library
Federal funds rate prediction
Tools
UNSPECIFIED (2005) Federal funds rate prediction. Journal of Money, Credit and Banking, 37 (3). pp. 449-471. ISSN 0022-2879.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
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: | Wiley-Blackwell Publishing, Inc. | ||||
ISSN: | 0022-2879 | ||||
Official Date: | June 2005 | ||||
Dates: |
|
||||
Volume: | 37 | ||||
Number: | 3 | ||||
Number of Pages: | 23 | ||||
Page Range: | pp. 449-471 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |