An evaluation of the forecasts of the federal reserve: a pooled approach

Fred Joutz, Michael Peter Clements and Herman O. Stekler
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Fred Joutz: Department of Economics, George Washington University, Washington, DC, USA, Postal: Department of Economics, George Washington University, Washington, DC, USA
Herman O. Stekler: Department of Economics, George Washington University, Washington, DC, USA, Postal: Department of Economics, George Washington University, Washington, DC, USA

Journal of Applied Econometrics, 2007, vol. 22, issue 1, pages 121-136

Abstract: The Federal Reserve Greenbook forecasts of real GDP, inflation and unemployment are analysed for the period 1974-1997. We consider whether these forecasts exhibit systematic bias, and whether efficient use is made of information, that is, whether revisions to these forecasts over time are predictable. Rather than analyse the forecasts separately for each horizon of interest, we discuss and implement methods that pool information over horizons. We conclude that there is evidence of systematic bias and of forecast smoothing of the inflation forecasts. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2007
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