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| Author: | Hamilton, J.D. Jorda, O. |
| Title: | A model of the federal funds rate target |
| Journal: | Journal of Political Economy
2002 : OCT, VOL. 110:5, p. 1135-1167 |
| Index terms: | Interest rates USA Statistical methods Time series Models Forecasting |
| Language: | eng |
| Abstract: | This paper is a statistical analysis of the manner in which the Federal Reserve determines the level of the federal funds rate target. The paper introduces new statistical tools for forecasting a discrete-valued time series such as the target and suggests that these methods, in conjunction with a focus on the institutional details of hoe the target is determined, can significantly improve on standard vector autoregression forecasts of the effective federal funds rate. |
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