Forecasts of US short-term interest rates: A flexible forecast combination approach |
| |
Authors: | Massimo Guidolin Allan Timmermann |
| |
Institution: | aFederal Reserve Bank of St. Louis, Research Division–St. Louis, MO 63166, United States;bManchester Business School, MAFG, Manchester M15 6PB, United Kingdom;cUniversity of California, San Diego–9500 Gilman Drive, La Jolla, CA 92093-0553, United States |
| |
Abstract: | 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: | Forecast combinations Regime switches Short term interest rates Expectations hypothesis |
本文献已被 ScienceDirect 等数据库收录! |
|