Forecasts of U.S. short-term interest rates: a flexible forecast combination approach
| Autor: | Massimo Guidolin, Allan Timmerman |
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| Rok vydání: | 2007 |
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| Popis: | 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. |
| Databáze: | OpenAIRE |
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