Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach

Allan Timmermann and Massimo Guidolin

No 6188, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons.

Keywords: Forecast combinations; Term structure of interest rates (search for similar items in EconPapers)
JEL-codes: C53 G12 (search for similar items in EconPapers)
Date: 2007-03
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk, nep-for, nep-mac, nep-mon and nep-pbe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://cepr.org/publications/DP6188 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Forecasts of US short-term interest rates: A flexible forecast combination approach (2009)
Working Paper: Forecasts of U.S. short-term interest rates: a flexible forecast combination approach (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:6188

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP6188

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().