Revisiting the greenbook's relative forecasting performance - Sciences Po Accéder directement au contenu
Article Dans Une Revue Revue de l'OFCE Année : 2014

Revisiting the greenbook's relative forecasting performance

Résumé

Since Romer and Romer (2000), a large literature has dealt with the relative forecasting performance of Greenbook macroeconomic forecasts of the Federal Reserve. This paper empirically reviews the existing results by comparing the different methods, data and samples used previously. The sample period is extended compared to previous studies and both real-time and final data are considered. We confirm that the Fed has a superior forecasting performance on inflation but not on output. In addition, we show that the longer the horizon, the more pronounced the advantage of Fed on inflation and that this superi- ority seems to decrease but remains prominent in the more recent period. The second objective of this paper is to underline the potential sources of this supe- riority. It appears that it may stem from better information rather than from a better model of the economy.
Fichier principal
Vignette du fichier
03-137.pdf (261.31 Ko) Télécharger le fichier
Origine : Fichiers éditeurs autorisés sur une archive ouverte

Dates et versions

hal-01087522 , version 1 (22-12-2014)
hal-01087522 , version 2 (20-08-2015)

Identifiants

Citer

Paul Hubert. Revisiting the greenbook's relative forecasting performance. Revue de l'OFCE, 2014, 137, pp.1-28. ⟨hal-01087522v1⟩
161 Consultations
223 Téléchargements

Partager

Gmail Facebook X LinkedIn More