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Minding the Gap: Central Bank Estimates of the Unemployment Natural Rate

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  • Sharon Kozicki

    ()

  • P. Tinsley

    ()

Abstract

A time-varying parameter framework is suggested for use with real-time multiperiod forecast data to estimate implied forecast equations. The framework is applied to historical briefing forecasts prepared for the Federal Open Market Committee to estimate the U.S. central bank’s ex ante perceptions of the natural rate of unemployment. Relative to retrospective estimates, empirical results do not indicate severe underestimation of the natural rate of unemployment in the 1970s.

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File URL: http://hdl.handle.net/10.1007/s10614-006-9029-3
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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 27 (2006)
Issue (Month): 2 (May)
Pages: 295-327

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Handle: RePEc:kap:compec:v:27:y:2006:i:2:p:295-327

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: FOMC Greenbook forecasts; the Great Iflation; time-varying natural rates;

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References

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Citations

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Cited by:
  1. Sharon Kozicki & P.A. Tinsley, 2007. "Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation," Working Papers 07-19, Bank of Canada.
  2. Kozicki, Sharon & Tinsley, P.A., 2009. "Perhaps the 1970s FOMC did what it said it did," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 842-855, September.
  3. Carboni, Giacomo & Ellison, Martin, 2009. "The Great Inflation and the Greenbook," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 831-841, September.
  4. Giacomo Carboni & Martin Ellison, 2009. "Inflation and output volatility under asymmetric incomplete information," Working Paper Series 1092, European Central Bank.

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