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Raiders of the lost high‐frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting.
- Source :
- Journal of Applied Econometrics; Jan2023, Vol. 38 Issue 1, p88-104, 17p
- Publication Year :
- 2023
-
Abstract
- Summary: We introduce a new dataset of real gross domestic product (GDP) growth and core personal consumption expenditures (PCE) inflation forecasts produced by the staff of the Board of Governors of the Federal Reserve System. In contrast to the eight Greenbook forecasts a year the staff produce for Federal Open Market Committee (FOMC) meetings, our dataset has roughly weekly forecasts. We use these data to study whether the staff forecasts efficiently. Prespecified regressions of forecast errors on forecast revisions show the staff's GDP forecasts exhibit time‐varying inefficiency between FOMC meetings, and also show some evidence for inefficient inflation forecasts. [ABSTRACT FROM AUTHOR]
- Subjects :
- INFLATION forecasting
FORECASTING
GROSS domestic product
CONSUMPTION (Economics)
Subjects
Details
- Language :
- English
- ISSN :
- 08837252
- Volume :
- 38
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Applied Econometrics
- Publication Type :
- Academic Journal
- Accession number :
- 161658228
- Full Text :
- https://doi.org/10.1002/jae.2938