Federal Reserve information during the great moderation

Karl Whelan (karl.whelan@ucd.ie) and Antonello D'Agostino

Open Access publications from School of Economics, University College Dublin

Abstract: Using data from the period 1970-1991, Romer and Romer (2000) showed that Federal Reserve forecasts of inflation and output were superior to those provided by commercial forecasters. In this paper, we show that this superior forecasting performance deteriorated after 1991. Over the decade 1992-2001, the superior forecast accuracy of the Fed held only over a very short time horizon and was limited to its forecasts of inflation. In addition, the performance of both the Fed and the commercial forecasters in predicting inflation and output, relative to that of “naive” benchmark models, dropped remarkably during this period.

Keywords: Board of Governors of the Federal Reserve System (U.S.); Inflation (Finance); Economic forecasting (search for similar items in EconPapers)
JEL-codes: C53 E52 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2008-04
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Citations: View citations in EconPapers (23)

Published in: Journal of the European Economic Association, 6(2-3) 2008-04

Downloads: (external link)
http://hdl.handle.net/10197/252 Open Access version, 2008 (application/pdf)

Related works:
Journal Article: Federal Reserve Information During the Great Moderation (2008)
Working Paper: Federal Reserve Information During the Great Moderation (2007)
Working Paper: Federal Reserve Information During the Great Moderation (2007)
Working Paper: Federal Reserve information during the great moderation (2007)
Working Paper: Federal Reserve Information during the great moderation (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ucn:oapubs:10197/252

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