Raiders of the lost high‐frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting

Autor: Trace J. Levinson, Andrew C. Chang
Rok vydání: 2022
Předmět:
Zdroj: Journal of Applied Econometrics. 38:88-104
ISSN: 1099-1255
0883-7252
DOI: 10.1002/jae.2938
Popis: 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 produces for Federal Open Market Committee (FOMC) meetings, our dataset has roughly weekly forecasts. We use these new data to study whether the staff forecasts efficiently and whether efficiency, or lack thereof, is time-varying. Prespecified regressions of forecast errors on forecast revisions show that the staff's GDP forecast errors correlate with its GDP forecast revisions, particularly for forecasts made more than two weeks from the start of a FOMC meeting, implying GDP forecasts exhibit time-varying inefficiency between FOMC meetings. We find some weaker evidence for inefficient inflation forecasts.
Databáze: OpenAIRE
Externí odkaz: