| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6216 |
| DP6216 Anticipated Fiscal Policy and Adaptive Learning | |
| Seppo Honkapohja; George W. Evans; Kaushik Mitra | |
| 发表日期 | 2007-03-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. |
| 主题 | Financial Economics |
| 关键词 | Forecast combinations Term structure of interest rates |
| URL | https://cepr.org/publications/dp6216 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535051 |
| 推荐引用方式 GB/T 7714 | Seppo Honkapohja,George W. Evans,Kaushik Mitra. DP6216 Anticipated Fiscal Policy and Adaptive Learning. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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