Federal funds rate prediction

Lucio Sarno, Daniel Thornton and Giorgio Valente ()

No 2002-005, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF) rate recently proposed in the literature. We find that: (i) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate; (ii) the best forecasting model is a simple univariate model where the future FF rate is forecast using the current difference between the FF rate and its target; (iii) combining the forecasts from various models generally yields modest improvements on the best performing model. These results have a natural interpretation and clear policy implications.

Keywords: Federal funds rate; Forecasting (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-cba, nep-fin and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://research.stlouisfed.org/wp/more/2002-005/ (application/pdf)
http://research.stlouisfed.org/wp/2002/2002-005.pdf

Related works:
Journal Article: Federal Funds Rate Prediction (2005)
Working Paper: Federal Funds Rate Prediction (2004)
Working Paper: Federal Funds Rate Prediction (2003)
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:fip:fedlwp:2002-005

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().