文章基本信息

标题：Does the federal reserve staff still beat private forecasters?
本地全文：下载
作者：Makram El-Shagi ; Sebastian Giesen ; Alexander Jung 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：The aim of this paper is to assess whether the findings of Romer and Romer (2000) on the superiority ofstaff forecasts are still valid today. The paper uses both latest available econometric techniques as wellas conventional tests. Several tests for forecast rationality show that a necessary condition for goodforecast performance is satisfied both for Greenbook and private forecasts, as measured by the Surveyof Professional Forecasters (SPF). Tests for forecast accuracy and the encompassing test confirm thesuperiority of Greenbook forecasts for inflation and output using an extended sample (1968 to 2006).The relative forecast performance is, however, not robust in the presence of large macroeconomicshocks such as the Great Moderation and oil price shocks. Other econometric tests show that a relativebetter forecast performance by staff is observed when there is increased uncertainty. Staff’s betterknowledge about the Fed’s future interest rate path also plays an important role in this respect
关键词：Forecast performance; forecast rationality; forecast stability; Greenbook forecasts; Survey;of Professional Forecasters