Historical Forecasting of Interest Rate Mean and Volatility of the United States: Is there a Role of Uncertainty?

Hossein Hassani (), Mohammad Yeganegi () and Rangan Gupta
Additional contact information
Hossein Hassani: Research Institute of Energy Management and Planning (RIEMP), University of Tehran, No. 13, Ghods St., Enghelab Ave., Tehran, Iran
Mohammad Yeganegi: Department of Accounting, Islamic Azad University, Central Tehran Branch, Tehran 477893855, Iran

No 202075, Working Papers from University of Pretoria, Department of Economics

Abstract: Uncertainty is known to have a negative impact on financial markets through its effects on investors' decisions. In the wake of the ``Great Recession" , quite a few recent studies have highlighted the role of uncertainty in predicting in-sample movements of interest rates. Since in-sample predictability does not guarantee out-of-sample forecasting gains, in this paper, we used historical daily and monthly data for the US to forecast the mean and volatility of interest rate. The results indicate that uncertainty fails to add any statistical gains to the forecast of interest rates for the US. In other words, policymakers in the US are not likely to improve their accuracy of future movements of the policy rate's two first moments by incorporating information derived from metrics of uncertainty.

Keywords: Interest Rate; Metrics of Uncertainty; Mean and Volatility Forecasting (search for similar items in EconPapers)
Pages: 12 pages
Date: 2020-08
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: HISTORICAL FORECASTING OF INTEREST RATE MEAN AND VOLATILITY OF THE UNITED STATES: IS THERE A ROLE OF UNCERTAINTY? (2020)
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:pre:wpaper:202075

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().