What model for the target rate

The Federal Reserve target rate has a lower bound. Changes to the target rate occur with discrete increments. Using out-of-sample forecasts of the target rate, we evaluate models incorporating these two realistic non-linear features. Incorporating these features mitigates in-sample over-fitting and...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Studies in nonlinear dynamics and econometrics 2021-02, Vol.25 (1), p.1-23
Hauptverfasser:	Feunou, Bruno, Fontaine, Jean-Sébastien, Jin, Jianjian
Format:	Artikel
Sprache:	eng
Schlagworte:	Business forecasts E43 financial markets Forecasting Inflation interest rates Lower bounds Mathematical models Target markets Unemployment Volatility
Online-Zugang:	Volltext
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