Sarno, Lucio; Thornton, Daniel L; Valente, Giorgio - In: Journal of Money, Credit and Banking 37 (2005) 3, pp. 449-71
We examine the forecasting performance of a range of time-series models of the daily U.S. effective federal funds (FF) rate recently proposed in the literature. We find that: (1) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate,...