Revisiting the greenbook's relative forecasting performance

Paul Hubert ()
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Paul Hubert: OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po

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Abstract: Since Romer and Romer (2000), a large literature has dealt with the relative forecasting performance of Greenbook macroeconomic forecasts of the Federal Reserve. This paper empirically reviews the existing results by comparing the different methods, data and samples used previously. The sample period is extended compared to previous studies and both real-time and final data are considered. We confirm that the Fed has a superior forecasting performance on inflation but not on output. In addition, we show that the longer the horizon, the more pronounced the advantage of Fed on inflation and that this superi- ority seems to decrease but remains prominent in the more recent period. The second objective of this paper is to underline the potential sources of this supe- riority. It appears that it may stem from better information rather than from a better model of the economy.

Keywords: Monetary Policy; Greenbook; Forecasts (search for similar items in EconPapers)
Date: 2015
Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-01087522v2
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Published in Revue de l'OFCE, 2015, 137, pp.151 - 179. ⟨10.3917/reof.137.0151⟩

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Related works:
Journal Article: Revisiting the Greenbook’s relative forecasting performance (2015)
Working Paper: Revisiting the greenbook's relative forecasting performance (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-01087522

DOI: 10.3917/reof.137.0151

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