Forecasting FOMC Forecasts

Sarp Kalfa and Jaime Marquez
Additional contact information
Jaime Marquez: School of Advanced International Studies, Johns Hopkins, Washington, DC 20036, USA

Econometrics, 2021, vol. 9, issue 3, 1-21

Abstract: (Hendry 1980, p. 403) The three golden rules of econometrics are “test, test, and test”. The current paper applies that approach to model the forecasts of the Federal Open Market Committee over 1992–2019 and to forecast those forecasts themselves. Monetary policy is forward-looking, and as part of the FOMC’s effort toward transparency, the FOMC publishes its (forward-looking) economic projections. The overall views on the economy of the FOMC participants–as characterized by the median of their projections for inflation, unemployment, and the Fed’s policy rate–are themselves predictable by information publicly available at the time of the FOMC’s meeting. Their projections also communicate systematic behavior on the part of the FOMC’s participants.

Keywords: FOMC; Taylor rule; vector autoregression; inflation; unemployment; SEP (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2225-1146/9/3/34/pdf (application/pdf)
https://www.mdpi.com/2225-1146/9/3/34/ (text/html)

Related works:
Working Paper: Forecasting FOMC Forecasts (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:9:y:2021:i:3:p:34-:d:634996

Access Statistics for this article

Econometrics is currently edited by Ms. Jasmine Liu

More articles in Econometrics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().