Federal Funds Rate Prediction
评估了多种时间序列模型对美国每日有效联邦基金利率的预测表现，发现简单单变量模型效果最佳，且组合预测仅带来小幅改进。
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, (2) the best forecasting model is a simple univariate model where the future FF rate is forecast using the current difference between the FF rate and its target, and (3) combining the forecasts from various models generally yields modest improvements on the best performing model. These results have a natural interpretation and clear policy implications.