(Un)Predictability and Macroeconomic Stability

Antonello D'Agostino, Domenico Giannone and Paolo Surico

Macroeconomics from University Library of Munich, Germany

Abstract: This paper documents a new stylized fact of the U.S. greater macroeconomic stability of the last two decades or so. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Green book and the Survey of Professional Forecasters, we show that the ability of predicting several measures of inflation and real activity, relative to naive forecasts, declined remarkably across most models and horizons since the mid-1980s. This fact appears to reflect a prominent feature of the recent observations and thus represents a new challenge for competing explanations of the 'Great Moderation'

Keywords: predictive accuracy; macroeconomic stability; forecasting models; sub-sample analysis; Fed Green book. (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 E47 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2005-10-28
New Economics Papers: this item is included in nep-for and nep-mac
Note: Type of Document - pdf; pages: 29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (88)

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https://econwpa.ub.uni-muenchen.de/econ-wp/mac/papers/0510/0510024.pdf (application/pdf)

Related works:
Working Paper: (Un)Predictability and Macroeconomic Stability (2007)
Working Paper: (Un)Predictability and Macroeconomic Stability (2006)
Working Paper: (Un)Predictability and macroeconomic stability (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0510024

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