Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - Federal Reserve Bank of St. Louis - 2004
We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF …) rate recently proposed in the literature. We find that: (i) most of the models and predictor variables considered produce … satisfactory one-day-ahead forecasts of the FF rate; (ii) the best forecasting model is a simple univariate model where the future …