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.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Which model to forecast the target rate? / by Bruno Feunou, Jean-Sébastien Fontaine and Jianjian Jin. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2017-60 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "December 2017." Includes bibliographical references. Text in English, abstract in English and French. |
| Publishing information | Ottawa : Bank of Canada, 2017. |
| Author / Contributor | Feunou, Bruno. Jin, Jianjian. Fontaine, Jean-Sébastien. |
| Description | ii, 40 p. : graphs |
| Catalogue number |
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| Subject terms | Banks Rates Forecasting |
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