Forecasts of US short-term interest rates: A flexible forecast combination approach
نویسندگان
چکیده
منابع مشابه
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
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 expe...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2009
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2008.12.004