Evaluating the Conditionality of Judgmental Forecasts

Travis Berge, Andrew C. Chang and Nitish R. Sinha
Additional contact information
Andrew C. Chang: https://www.federalreserve.gov/econres/andrew-c-chang.htm
Nitish R. Sinha: https://www.federalreserve.gov/econres/nitish-r-sinha.htm

No 2019-002, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithfully incorporated into the remainder of the forecast. We consider whether the Greenbook, Blue Chip, and the Survey of Professional Forecasters exhibit systematic biases in the manner in which they incorporate interest rate projections into the forecasts of other macroeconomic variables. We do not find strong evidence of systematic biases in the three economic forecasts that we consider, as the interest rate projections in these forecasts appear to be efficiently incorporated into forecasts of other economic variables.

Keywords: conditional forecasts; Forecast efficiency; Macroeconomic forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 E17 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2019-02-01
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Journal Article: Evaluating the conditionality of judgmental forecasts (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2019-02

DOI: 10.17016/FEDS.2019.002

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