Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis
改进政策分析用VAR模型的联邦基金利率预测
Federal-funds rate-forecast errors from vector autoregressive (VAR) models used for monetary policy analysis and fitted by ordinary least squares (OLS) are large relative to those from the futures market. Using three different structural VAR models, we show that forecasts based on a shrinkage estimator dominate the OLS-based forecasts--even after restricting the lag length and/or imposing exact unit-root restrictions--and are broadly comparable to the futures-market…