Federal Reserve Information During the Great Moderation

Antonello D'Agostino and Karl Whelan ()

Journal of the European Economic Association, 2008, vol. 6, issue 2-3, 609-620

Abstract: Using data from the period 1970-1991, Romer and Romer (2000) showed that that Federal Reserve forecasts of inflation and output were superior to those provided by commercial forecasters. In this paper, we show that this superior forecasting performance deteriorated after 1991. Over the decade 1992-2001, the superior forecast accuracy of the Fed held only over a very short time horizon and was limited to its forecasts of inflation. In addition, the performance of both the Fed and the commercial forecasters in predicting inflation and output, relative to that of "naive" benchmark models, dropped remarkably during this period. (JEL: E58, E31) (c) 2008 by the European Economic Association.

JEL-codes: E31 E58 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (36)

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Working Paper: Federal Reserve information during the great moderation (2008)
Working Paper: Federal Reserve Information During the Great Moderation (2007)
Working Paper: Federal Reserve Information During the Great Moderation (2007)
Working Paper: Federal Reserve information during the great moderation (2007)
Working Paper: Federal Reserve Information during the great moderation (2007)
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