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Evaluating a Vector of the Fed's Forecasts

Tara Sinclair, Herman Stekler and Warren Carrow
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Warren Carrow: Economics Department, George Washington University

Working Papers from The George Washington University, Institute for International Economic Policy

Abstract: In this paper we present a multivariate analysis of the Federal Reserve’s forecasts. First, we evaluate the Fed’s forecasts of the ten major expenditure categories of real GDP. Second, we present a new methodology for evaluating multivariate forecasts. Finally, we use the same methodology to determine whether the Fed’s forecasts of GDP growth, inflation, and unemployment taken together present an accurate overall view of the economic situation and compare the Fed’s forecasts to those of the Survey of Professional Forecasters. We find that the Fed’s forecasts were generally consistent with the overall conditions that actually occurred. We also find that the Fed’s forecasts and those of the Survey of Professional Forecasters are quite similar overall.

Keywords: Federal Reserve; Forecast Evaluation; real GDP Expenditure Approach; Business Cycle; Mahalanobis Distance (search for similar items in EconPapers)
JEL-codes: C5 E2 E3 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2012-03
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http://www.gwu.edu/~iiep/assets/docs/papers/Sinclair_IIEPWP2012-03.pdf (application/pdf)

Related works:
Journal Article: Evaluating a vector of the Fed’s forecasts (2015) Downloads
Working Paper: EVALUATING A VECTOR OF THE FED’S FORECASTS (2012) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:gwi:wpaper:2012-3

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