(Un)Predictability and Macroeconomic Stability

Domenico Giannone, D’Agostino, Antonello and Paolo Surico
Authors registered in the RePEc Author Service: Antonello D'Agostino

No 6594, CEPR Discussion Papers from Centre for Economic Policy Research

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)
Date: 2007-12
New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://cepr.org/publications/DP6594 (application/pdf)

Related works:
Working Paper: (Un)Predictability and Macroeconomic Stability (2006)
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:cpr:ceprdp:6594

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP6594

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().