(Un)Predictability and Macroeconomic Stability

D'Agostino, Antonello, Domenico Giannone () and Paolo Surico ()
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D'Agostino, Antonello: Central Bank and Financial Services Authority of Ireland

No 5/RT/06, Research Technical Papers from Central Bank & Financial Services Authority of Ireland (CBFSAI)

Abstract: This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Greenbook and the Survey of Professional Forecasters, we show that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s. This break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the `Great Moderation'.

JEL-codes: E37 E47 C22 C53 (search for similar items in EconPapers)
Date: 2006-06
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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 (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:cbi:wpaper:5/rt/06

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