Forecasts of U.S. short-term interest rates: a flexible forecast combination approach
Massimo Guidolin () and
No 2005-059, Working Papers from Federal Reserve Bank of St. Louis
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: Interest rates; Forecasting (search for similar items in EconPapers)
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Journal Article: Forecasts of US short-term interest rates: A flexible forecast combination approach (2009)
Working Paper: Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach (2007)
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