the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …

Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not … only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables …. A popular class of forecasting models is linear vector autoregressions (VARs) that include shorter- and longer …