Does current-quarter information improve quarterly forecasts for the U.S. economy?

Tom Stark

No 00-2, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: This paper presents new evidence on the benefits of conditioning quarterly model forecasts on monthly current-quarter data. On the basis of a quarterly Bayesian vector error corrections model, the findings indicate that such conditioning produces economically relevant and statistically significant improvement. The improvement, which begins as early as the end of the first week of the second month of the quarter, is largest in the current quarter, but in some cases, extends beyond the current quarter. Forecast improvement is particularly large during periods of recessions but generally extends to other periods as well. Overall, the findings suggest that it is rational to update one's quarterly forecast in response to incoming monthly data.

Keywords: economic conditions - United States; Forecasting (search for similar items in EconPapers)
Date: 2000
New Economics Papers: this item is included in nep-ets
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