(Un)Predictability and Macroeconomic Stability

D'Agostino, Antonello, Domenico Giannone () and Paolo Surico ()

No 6594, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: The ability of popular statistical methods, the Federal Reserve Greenbook and the Survey of Professional Forecasters to improve upon the forecasts of inflation and real activity from naive models has declined significantly during the most recent period of greater macroeconomic stability. The decline in the predictability of inflation is associated with a break down in the predictive power of real activity, especially in the housing sector. The decline in the predictability of real activity is associated with a break down in the predictive power of the term spread.

Keywords: Fed Greenbook; forecasting models; predictability; Survey of Professional Forecasts (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 E47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
Date: 2007-12

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Related works:
Working Paper: (Un)Predictability and macroeconomic stability (2006)
Working Paper: (Un)Predictability and Macroeconomic Stability (2005)
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