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Federal Funds Rate Prediction

Citations

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  1. is not listed on IDEAS
  2. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
  3. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
  4. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
  5. Artem Meshcheryakov & Stoyu I Ivanov, 2017. "Investor's sentiment in predicting the Effective Federal Funds Rate," Economics Bulletin, AccessEcon, vol. 37(4), pages 2767-2796.
  6. Marco Lippi & Daniel L. Thornton, 2004. "A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News," LEM Papers Series 2004/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  7. West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
  8. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  9. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "Persistence and Nonlinearities in the US Federal Funds Rate," CESifo Working Paper Series 11913, CESifo.
  10. Kim, Hyerim & Kang, Kyu Ho, 2022. "The Bank of Korea watch," Journal of International Money and Finance, Elsevier, vol. 126(C).
  11. Katsuhiro Sugita, 2017. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 49-56, March.
  12. Kirstin Hubrich & Kenneth D. West, 2010. "Forecast evaluation of small nested model sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 574-594.
  13. William R. Emmons & Aeimit K. Lakdawala & Christopher J. Neely, 2006. "What are the odds? option-based forecasts of FOMC target changes," Review, Federal Reserve Bank of St. Louis, vol. 88(Nov), pages 543-562.
  14. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
  15. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
  16. Sarno, Lucio & Thornton, Daniel L., 2003. "The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1079-1110, June.
  17. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  18. Feunou Bruno & Fontaine Jean-Sébastien & Jin Jianjian, 2021. "What model for the target rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-23, February.
  19. James D. Hamilton, 2008. "Assessing monetary policy effects using daily federal funds futures contracts," Review, Federal Reserve Bank of St. Louis, vol. 90(Jul), pages 377-394.
  20. James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc.
  21. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  22. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
  23. Bjørn-Roger Wilhelmsen & Andrea Zaghini, 2011. "Monetary policy predictability in the euro area: an international comparison," Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2533-2544.
  24. Friedrich Heinemann & Katrin Ullrich, 2007. "Does it Pay to Watch Central Bankers’ Lips? The Information Content of ECB Wording," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(2), pages 155-185, June.
  25. Ramos-Tallada, Julio, 2015. "Bank risks, monetary shocks and the credit channel in Brazil: Identification and evidence from panel data," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 135-161.
  26. Yuhan Hou & Tianji Rao & Jeremy Tan & Adler Viton & Xiyue Zhang & David Ye & Abhishek Kodi & Sanjana Dulam & Aditya Paul & Yikai Feng, 2025. "FedSight AI: Multi-Agent System Architecture for Federal Funds Target Rate Prediction," Papers 2512.15728, arXiv.org.
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