Forecasting the Treasury's balance at the Fed

As part of the Fed's daily operating procedure, the Federal Reserve Bank of New York, the Board of Governors and the Treasury make a forecast of that day's Treasury balance at the Fed. These forecasts are an integral part of the Fed's daily operating procedure. Errors in these forecasts can generate variation in reserve supply and, consequently, the federal funds rate. This paper evaluates the accuracy of these forecasts. The evidence suggests that each agency's forecast contributes to the optimal, i.e., minimum variance, forecast and that the Trading Desk of the Federal Reserve Bank of New York incorporates information from all three of the agency forecasts in conducting daily open market operations. Moreover, these forecasts encompass the forecast of an economic model. Copyright © 2004 John Wiley & Sons, Ltd.     

抗差样条模型对我国国债利率期限结构的建模与实证

针对我国国债市场部分债券价格扭曲的情况,提出一种基于抗差估计的样条期限结构模型,来拟合我国国债利率期限结构.实证的结果表明,这种方法具有优良的样本内、样本外性质,并且对错误定价的债券有一定的甄别能力.