Do GDP Forecasts Respond Efficiently to Changes in Interest Rates?

Dean Croushore and Katherine Marsten

No 16-17, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: In this paper, we examine and extend the results of Ball and Croushore (2003) and Rudebusch and Williams (2009), who show that the output forecasts in the Survey of Professional Forecasters (SPF) are inefficient. Ball and Croushore show that the SPF out-put forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread. In this paper, we investigate the robustness of both claims of inefficiency, using real-time data and exploring the impact of alternative sample periods on the results.

Keywords: Real-Time Data; Output Forecasts; Yield Spread; Monetary Policy; Survey of Professional Forecasters (SPF) (search for similar items in EconPapers)
Pages: 35 pages
Date: 2016-06-22
New Economics Papers: this item is included in nep-mac
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