Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts
| Autor: | Michael T. Owyang, Ivana Komunjer, Julieta Caunedo, Riccardo DiCecio |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Inflation
Economics and Econometrics 021103 operations research Great Moderation media_common.quotation_subject 05 social sciences 0211 other engineering and technologies 02 engineering and technology Asymmetry Taylor rule Accounting 0502 economics and business Value (economics) Unemployment Econometrics Economics State dependence 050207 economics Finance media_common |
| Zdroj: | Journal of Money, Credit and Banking. 52:205-228 |
| ISSN: | 1538-4616 0022-2879 |
| Popis: | Forecasts are a central component of policymaking; the Federal Reserve's forecasts are published in a document called the Greenbook. Previous studies of the Greenbook's inflation forecasts have found them to be rationalizable but asymmetric if considering particular subperiods, for example, before and after the Volcker appointment. In these papers, forecasts are analyzed in isolation, assuming policymakers value them independently. We analyze the Greenbook forecasts in a framework in which the forecast errors for different variables are allowed to interact. We find that allowing the losses to interact makes the unemployment forecasts virtually symmetric, the output forecasts symmetric prior to the Volcker appointment, and the inflation forecasts symmetric after the onset of the Great Moderation. |
| Databáze: | OpenAIRE |
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