Forecasting the FOMC's interest rate set
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Hyeongwoo Kim; John Jackson; Richard Saba
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Article
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2009
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John Wiley and Sons
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English
β 316 KB
π 1 views
## Abstract We develop a model to forecast the Federal Open Market Committee's (FOMC's) interest rate setting behavior in a nonstationary discrete choice model framework by Hu and Phillips (2004). We find that if the model selection criterion is strictly empirical, correcting for nonstationarity is