skip to content
Which Model to Forecast the Target Rate? Preview this item
ClosePreview this item
Checking...

Which Model to Forecast the Target Rate?

Author: Bruno Feunou; Jean-Sébastien Fontaine; Jianjian Jin
Publisher: Ottawa, ON, CA : Bank of Canada, 2017. ©2017
Series: Staff Working Paper/Document de travail du personnel, 2017-60.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
'Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Imposing a positivity constraint and discrete increments significantly increases the accuracy of model out-of-sample forecasts for the level and volatility of the Federal Reserve target rates. In addition, imposing the constraints produces different estimates of the  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Bruno Feunou; Jean-Sébastien Fontaine; Jianjian Jin
OCLC Number: 1017787016
Language Note: Includes abstracts in English and French.
Description: 1 online resource (44 pages).
Series Title: Staff Working Paper/Document de travail du personnel, 2017-60.
Responsibility: Bruno Feunou.
More information:

Abstract:

'Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Imposing a positivity constraint and discrete increments significantly increases the accuracy of model out-of-sample forecasts for the level and volatility of the Federal Reserve target rates. In addition, imposing the constraints produces different estimates of the response coefficients. In particular, a new and simple specification, where the target rate is the maximum between zero and the prediction of an ordered-choice Probit model, is more accurate and has higher response coefficients to information about inflation and unemployment'--Abstract, p. ii.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/1017787016> # Which Model to Forecast the Target Rate?
    a schema:MediaObject, schema:CreativeWork, schema:Book ;
    library:oclcnum "1017787016" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/onc> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/mathematics> ; # Mathematics
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/federal_open_market_committee> ; # Federal open market committee
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/interest_rate> ; # Interest rate
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/accuracy_and_precision> ; # Accuracy and precision
    schema:about <http://dewey.info/class/332.8/a15/> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/interest_rates_forecasting> ; # Interest rates--Forecasting
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/cross_validation_statistics> ; # Cross-validation (statistics)
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/taux_d_interet_modeles_econometriques> ; # Taux d'intérêt--Modèles économétriques
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/covariance_matrix> ; # Covariance matrix
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/interest> ; # Interest
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/forecasting> ; # Forecasting
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/macroeconomics> ; # Macroeconomics
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/interest_rates_econometric_models> ; # Interest rates--Econometric models
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/likelihood_function> ; # Likelihood function
    schema:about <http://experiment.worldcat.org/entity/work/data/4905565380#Topic/taux_d_interet_prevision> ; # Taux d'intérêt--Prévision
    schema:bookFormat schema:EBook ;
    schema:contributor <http://experiment.worldcat.org/entity/work/data/4905565380#Person/feunou_bruno> ; # Bruno Feunou
    schema:contributor <http://experiment.worldcat.org/entity/work/data/4905565380#Person/fontaine_jean_sebastien> ; # Jean-Sébastien Fontaine
    schema:contributor <http://experiment.worldcat.org/entity/work/data/4905565380#Person/jin_jianjian> ; # Jianjian Jin
    schema:datePublished "2017" ;
    schema:description "'Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Imposing a positivity constraint and discrete increments significantly increases the accuracy of model out-of-sample forecasts for the level and volatility of the Federal Reserve target rates. In addition, imposing the constraints produces different estimates of the response coefficients. In particular, a new and simple specification, where the target rate is the maximum between zero and the prediction of an ordered-choice Probit model, is more accurate and has higher response coefficients to information about inflation and unemployment'--Abstract, p. ii."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/4905565380> ;
    schema:genre "National government publication"@en ;
    schema:genre "Government publication"@en ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/4905565380#Series/staff_working_paper_document_de_travail_du_personnel> ; # Staff Working Paper/Document de travail du personnel ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/4905565380#Series/> ; #
    schema:isPartOf <http://worldcat.org/issn/1701-9397> ; # Staff Working Paper/Document de travail du personnel,
    schema:name "Which Model to Forecast the Target Rate?"@en ;
    schema:productID "1017787016" ;
    schema:url <http://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-60-eng.pdf> ;
    schema:url <https://www.deslibris.ca/ID/10094714> ;
    schema:url <http://oaresource.library.carleton.ca/wcl/2018/20180119/FB3-5-2017-60-eng.pdf> ;
    schema:url <http://epe.lac-bac.gc.ca/100/201/301/weekly_acquisitions_list-ef/2017/17-51/publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-60-eng.pdf> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/1017787016> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/4905565380#Person/feunou_bruno> # Bruno Feunou
    a schema:Person ;
    schema:familyName "Feunou" ;
    schema:givenName "Bruno" ;
    schema:name "Bruno Feunou" ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Person/fontaine_jean_sebastien> # Jean-Sébastien Fontaine
    a schema:Person ;
    schema:familyName "Fontaine" ;
    schema:givenName "Jean-Sébastien" ;
    schema:name "Jean-Sébastien Fontaine" ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Person/jin_jianjian> # Jianjian Jin
    a schema:Person ;
    schema:familyName "Jin" ;
    schema:givenName "Jianjian" ;
    schema:name "Jianjian Jin" ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Series/staff_working_paper_document_de_travail_du_personnel> # Staff Working Paper/Document de travail du personnel ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1017787016> ; # Which Model to Forecast the Target Rate?
    schema:name "Staff Working Paper/Document de travail du personnel ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/accuracy_and_precision> # Accuracy and precision
    a schema:Intangible ;
    schema:name "Accuracy and precision"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/covariance_matrix> # Covariance matrix
    a schema:Intangible ;
    schema:name "Covariance matrix"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/cross_validation_statistics> # Cross-validation (statistics)
    a schema:Intangible ;
    schema:name "Cross-validation (statistics)"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/federal_open_market_committee> # Federal open market committee
    a schema:Intangible ;
    schema:name "Federal open market committee"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/interest_rates_econometric_models> # Interest rates--Econometric models
    a schema:Intangible ;
    schema:name "Interest rates--Econometric models"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/interest_rates_forecasting> # Interest rates--Forecasting
    a schema:Intangible ;
    schema:name "Interest rates--Forecasting"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/likelihood_function> # Likelihood function
    a schema:Intangible ;
    schema:name "Likelihood function"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/taux_d_interet_modeles_econometriques> # Taux d'intérêt--Modèles économétriques
    a schema:Intangible ;
    schema:name "Taux d'intérêt--Modèles économétriques"@fr ;
    .

<http://experiment.worldcat.org/entity/work/data/4905565380#Topic/taux_d_interet_prevision> # Taux d'intérêt--Prévision
    a schema:Intangible ;
    schema:name "Taux d'intérêt--Prévision"@fr ;
    .

<http://worldcat.org/issn/1701-9397> # Staff Working Paper/Document de travail du personnel,
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1017787016> ; # Which Model to Forecast the Target Rate?
    schema:issn "1701-9397" ;
    schema:name "Staff Working Paper/Document de travail du personnel," ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.