Does Central Bank Staff Beat Private Forecasters?

Alexander Jung, Makram El-Shagi and Sebastian Giesen

VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order from Verein für Socialpolitik / German Economic Association

Abstract: This paper assesses the relative performance of central bank staff forecasts and of private forecasters for inflation and output. We show that the Federal Reserve (Fed), and less so the European Central Bank (ECB), has a significant information advantage concerning inflation and output forecasts. Using recently developed tests for conditional predictive ability and forecast stability for the US, we find that the driving forces behind the narrowing of the information advantage of Greenbook forecasts have coincided with the Great Moderation.

JEL-codes: C53 E37 E52 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Does Central Bank Staff Beat Private Forecasters? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc13:79925

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