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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| Title | Which model to forecast the target rate? / by Bruno Feunou, Jean-Sébastien Fontaine and Jianjian Jin. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | ii, 40 p. : graphs |
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