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An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data

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  • Croushore Dean

    ()
    (University of Richmond)

Abstract

This paper carries out the task of evaluating inflation forecasts from the Livingston Survey and the Survey of Professional Forecasters, using the Real-Time Data Set for Macroeconomists as a source of real-time data. We examine the magnitude and patterns of revisions to the inflation rate based on the output price index. We then run tests on the forecasts from the surveys to see how good they are. We find that there are several episodes in which forecasters made persistent forecast errors, but the episodes are so short that by the time they can be identified, they have nearly disappeared. Thus, improving on the survey forecasts seems to be very difficult in real time, and the attempt to do so leads to increased forecast errors.

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Bibliographic Info

Article provided by De Gruyter in its journal The B.E. Journal of Macroeconomics.

Volume (Year): 10 (2010)
Issue (Month): 1 (May)
Pages: 1-32

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Handle: RePEc:bpj:bejmac:v:10:y:2010:i:1:n:10

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  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
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  16. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
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  18. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  19. Dean Croushore, 1997. "The Livingston Survey: still useful after all these years," Business Review, Federal Reserve Bank of Philadelphia, issue Mar, pages 15-27.
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