Federal Reserve Information during the great moderation

Antonello D'Agostino and Karl Whelan ()

No 200722, Working Papers from School of Economics, University College Dublin

Abstract: Using data from the period 1970-1991, Romer and Romer (2000) showed that Federal Reserve forecasts of inflation and output were superior to those provided by commercial forecasters. In this paper, we show that this superior forecasting performance deteriorated after 1991. Over the decade 1992-2001, the superior forecast accuracy of the Fed held only over a very short time horizon and was limited to its forecasts of inflation. In addition, the performance of both the Fed and the commercial forecasters in predicting inflation and output, relative to that of “naive” benchmark models, dropped remarkably during this period.

Keywords: Board of Governors of the Federal Reserve System (U.S.); Inflation (Finance); Economic forecasting (search for similar items in EconPapers)
Date: 2007-12
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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http://hdl.handle.net/10197/964 First version, 2007 (application/pdf)

Related works:
Journal Article: Federal Reserve Information During the Great Moderation (2008)
Working Paper: Federal Reserve information during the great moderation (2008)
Working Paper: Federal Reserve Information During the Great Moderation (2007)
Working Paper: Federal Reserve Information During the Great Moderation (2007)
Working Paper: Federal Reserve information during the great moderation (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ucn:wpaper:200722

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