Comparing Federal Reserve, Blue Chip, and time series forecasts of US output growth
Hamid Baghestani and
Bassam M. AbuAl-Foul
Authors registered in the RePEc Author Service: Bassam Abu Al-Foul
Journal of Economics and Business, 2017, vol. 89, issue C, 47-56
We evaluate the predictive content of Federal Reserve and Blue Chip forecasts of output growth by utilizing two comparable forecasts as benchmarks: a univariate autoregressive (AR) model, and a vector autoregressive (VAR) model which includes output growth, growth in residential investment, and consumers’ assessments of business conditions. We first show the forecasts are all directionally accurate, free of systematic bias, and efficient. Second, the asymmetric information hypothesis cannot be supported. Third, the Federal Reserve and private forecasts are generally less informative than the VAR forecasts and thus lack past information on residential investment growth and consumers’ assessments of business conditions.
Keywords: Asymmetric information; Residential investment; Consumer sentiment; Forecast evaluation (search for similar items in EconPapers)
JEL-codes: E22 E32 R31 R32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:89:y:2017:i:c:p:47-56
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