Forecasting Interest Rates over the Long Run
Richard Crump (),
Tobias Adrian and
Peter Diamond ()
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Rui Yu: Research and Statistics Group
No 20160718, Liberty Street Economics from Federal Reserve Bank of New York
In a previous post, we showed how market rates on U.S. Treasuries violate the expectations hypothesis because of time-varying risk premia. In this post, we provide evidence that term structure models have outperformed direct market-based measures in forecasting interest rates. This suggests that term structure models can play a role in long-run planning for public policy objectives such as assessing the viability of Social Security.
Keywords: social security; discounting; term structure of interest rates; term premiums (search for similar items in EconPapers)
JEL-codes: H00 D1 G1 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fednls:87139
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