This paper explores the effects of measurement error on dynamic forecasting models. The paper sets out to illustrate a trade off that confronts forecasters and policymakers when they use data that are measured with error. On the one hand, observations on recent data give valuable clues as to the...

Recent research has reported that both the federal funds rate futures market and the federal funds target contain valuable information for explaining the behavior of the US effective federal funds rate. A parallel literature on interest rate modelling has recorded evidence that the dynamics of...