00000nam 2200000za 4500 9.849167 CaOODSP 20221107153842 cr ||||||||||| 171221s2017 oncd #ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-60E-PDF Feunou, Bruno. Which model to forecast the target rate? [electronic resource] / by Bruno Feunou, Jean-Sébastien Fontaine and Jianjian Jin. Ottawa : Bank of Canada, 2017. ii, 40 p. : graphs Bank of Canada staff working paper, 1701-9397 ; 2017-60 "December 2017." Includes bibliographical references. "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. Text in English, abstract in English and French. gccst Banks gccst Rates gccst Forecasting Jin, Jianjian. Fontaine, Jean-Sébastien. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-60. (CaOODSP)9.806221 PDF 600 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-60-eng.pdf