Does Central Bank Staff Beat Private Forecasters?

Makram El-Shagi, Sebastian Giesen and Alexander Jung

No 5/2012, IWH Discussion Papers from Halle Institute for Economic Research (IWH)

Abstract: In the tradition of Romer and Romer (2000), this paper compares staff forecasts of the Federal Reserve (Fed) and the European Central Bank (ECB) for inflation and output with corresponding private forecasts. Standard tests show that the Fed and less so the ECB have a considerable information advantage about inflation and output. Using novel tests for conditional predictive ability and forecast stability for the US, we identify the driving forces of the narrowing of the information advantage of Greenbook forecasts coinciding with the Great Moderation.

Keywords: relative forecast performance; forecast stability; staff forecasts; private forecasts; real-time data; Relative Prognosegüte; Prognosestabilität; private Prognose; Zentralbankstabprognosen; Echtzeitdaten (search for similar items in EconPapers)
JEL-codes: C53 E37 E52 E58 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Does Central Bank Staff Beat Private Forecasters? (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwhdps:iwh-5-12

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