Evaluating FOMC forecast ranges: an interval data approach
Henning Fischer (),
Marta García-Bárzana (),
Peter Tillmann and
Peter Winker ()
Additional contact information
Henning Fischer: University of Giessen
Marta García-Bárzana: University of Oviedo
No 201213, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
The Federal Open Market Committee (FOMC) of the U.S. Federal Reserve publishes the range of members’ forecasts for key macroeconomic variables, but not the distribution of forecasts within this range. To evaluate these projections, previous papers compare the midpoint of the ranges with the realized outcome. This paper proposes a new approach to forecast evaluation that takes account of the interval nature of projections. It is shown that using the conventional Mincer-Zarnowitz approach to evaluate FOMC forecasts misses important information contained in the width of the forecast interval. This additional information plays a minor role at short forecast horizons but turns out to be of crucial importance for inflation and unemployment forecasts 18 months into the future. At long horizons the variation of members’ projections contains information which is more relevant for explaining future inflation than information embodied in the midpoint.
Keywords: Forecast evaluation; interval data; Federal Reserve; monetary policy (search for similar items in EconPapers)
JEL-codes: C53 E37 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
https://www.uni-marburg.de/fb02/makro/forschung/magkspapers/13-2012_tillmann.pdf First version, 2012 (application/pdf)
Journal Article: Evaluating FOMC forecast ranges: an interval data approach (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201213
Access Statistics for this paper
More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) Contact information at EDIRC.
Bibliographic data for series maintained by Bernd Hayo ().