Similar Search Results

The decline in r* according to a robust multivariate trend-cycle decomposition

Morley, James C.; Trung Duc Tran; Wong, Benjamin - 2022

Persistent link: https://www.econbiz.de/10012878807

A simple correction for misspecification in trend-cycle decompositions with an application to estimating r*

Morley, James C.; Trung Duc Tran; Wong, Benjamin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 665-680

Persistent link: https://www.econbiz.de/10015053441

Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Hong, Yongmiao; Li, Haitao - In: The review of financial studies 18 (2005) 1, pp. 37-84

Persistent link: https://www.econbiz.de/10002646532

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

Persistent link: https://www.econbiz.de/10001684716

Decomposing Federal Funds Rate forecast uncertainty using real-time data

Mandler, Martin - 2009

Using real-time data I estimate out-of-sample forecast uncertainty about the Federal Funds Rate. Combining a Taylor rule with a model of economic fundamentals I disentangle economically interpretable components of forecast uncertainty: uncertainty about future economic conditions and uncertainty...