Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
expectations about short yields can be exploited to improve the accuracy of yield curve forecasts given by a base model. We do so … by employing a flexible projection method that anchors the model forecasts to the survey expectations in segments of the …, without the need to explicitly model it. We document that anchoring delivers large and significant gains in forecast accuracy …