(Un)Predictability and Macroeconomic Stability

Antonello D'Agostino, Domenico Giannone and Paolo Surico

No 5/RT/06, Research Technical Papers from Central Bank of Ireland

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: C22 C53 E37 E47 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2006-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://centralbank.ie/docs/default-source/publica ... surico).pdf?sfvrsn=4 (application/pdf)

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)
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:cbi:wpaper:5/rt/06

Access Statistics for this paper

More papers in Research Technical Papers from Central Bank of Ireland Contact information at EDIRC.
Bibliographic data for series maintained by Fiona Farrelly ().