The Superiority of Greenbook Forecasts and the Role of Recessions

N Kishor

No 74, NBP Working Papers from Narodowy Bank Polski

Abstract: In this paper, we investigate the role of recessions on the relative forecasting performance of the Fed and the private sector. Romer and Romer (2000) showed that the Fed's forecasts of inflation and output were superior to that of the private sector in the pre-1991 period. D'Agostino and Whelan (2008) found that the information superiority of the Fed deteriorated after 1991. Our results show that the information superiority of the Fed in forecasting real activity did arise from its forecasting dominance during recessions. If recessions are excluded from the pre-1992 period, the informational advantage of the Fed disappears, and in some cases, private sector forecasts perform better. We do not find any systematic effect of recessions on inflation forecasts.

Keywords: Greenbook Forecasts; Recessions; Business Cycle Turning Points (search for similar items in EconPapers)
JEL-codes: E31 E32 E37 (search for similar items in EconPapers)
Pages: 28
Date: 2010
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
Note: The paper was presented at the National Bank of Poland’s conference „Publishing central banks forecast in theory and practice” held on 5–6 November 2009 in Warsaw.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:74

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