Which model to forecast the target rate? / by Bruno Feunou, Jean-Sébastien Fontaine and Jianjian Jin. : FB3-5/2017-60E-PDF
"Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Imposing a positivity constraint and discrete increments significantly increases the accuracy of model out-of-sample forecasts for the level and volatility of the Federal Reserve target rates. In addition, imposing the constraints produces different estimates of the response coefficients. In particular, a new and simple specification, where the target rate is the maximum between zero and the prediction of an ordered-choice Probit model, is more accurate and has higher response coefficients to information about inflation and unemployment"--Abstract, p. ii.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.849167&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Which model to forecast the target rate? / by Bruno Feunou, Jean-Sébastien Fontaine and Jianjian Jin. |
| Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2017-60 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "December 2017." Includes bibliographical references. Text in English, abstract in English and French. |
| Information sur la publication | Ottawa : Bank of Canada, 2017. |
| Auteur / Contributeur | Feunou, Bruno. Jin, Jianjian. Fontaine, Jean-Sébastien. |
| Description | ii, 40 p. : graphs |
| Numéro de catalogue |
|
| Descripteurs | Banks Rates Forecasting |