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Has the Economy Become More Predictable? Changes in Greenbook Forecast Accuracy

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  • PETER TULIP
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    Abstract

    Several researchers have recently documented large reductions in economic volatility. But a more important question may be whether the economy has become more predictable. Using forecasts from the Federal Reserve Greenbooks, I find that inflation and output have become more predictable, though the results for output are somewhat mixed. The reductions in unpredictability (if any) are significantly smaller than reductions in volatility. Associated with this, the predictable component of fluctuations in output and inflation has virtually disappeared. Copyright (c) 2009 The Ohio State University No claim to original US government works.

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    Bibliographic Info

    Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

    Volume (Year): 41 (2009)
    Issue (Month): 6 (09)
    Pages: 1217-1231

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    Handle: RePEc:mcb:jmoncb:v:41:y:2009:i:6:p:1217-1231

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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    Cited by:
    1. Peter Tulip & Stephanie Wallace, 2012. "Estimates of Uncertainty around the RBA's Forecasts," RBA Research Discussion Papers rdp2012-07, Reserve Bank of Australia.
    2. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2014. "Does the federal reserve staff still beat private forecasters?," Working Paper Series 1635, European Central Bank.
    3. Jung, Alexander & El-Shagi, Makram & Giesen, Sebastian, 2013. "Does Central Bank Staff Beat Private Forecasters?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79925, Verein für Socialpolitik / German Economic Association.
    4. Sean Langcake & Tim Robinson, 2013. "An Empirical BVAR-DSGE Model of the Australian Economy," RBA Research Discussion Papers rdp2013-07, Reserve Bank of Australia.
    5. Rochelle M. Edge & Refet S. Gurkaynak, 2011. "How useful are estimated DSGE model forecasts?," Finance and Economics Discussion Series 2011-11, Board of Governors of the Federal Reserve System (U.S.).
    6. Jon D. Samuels & Rodrigo Sekkel, 2013. "Forecasting with Many Models: Model Confidence Sets and Forecast Combination," Working Papers 13-11, Bank of Canada.
    7. Ippei Fujiwara & Yasuo Hirose, 2012. "Indeterminacy and Forecastability," CAMA Working Papers 2012-48, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Arai, Natsuki, 2014. "Using forecast evaluation to improve the accuracy of the Greenbook forecast," International Journal of Forecasting, Elsevier, vol. 30(1), pages 12-19.
    9. Knotek, Edward S. & Zaman, Saeed, 2014. "Nowcasting U.S. Headline and Core Inflation," Working Paper 1403, Federal Reserve Bank of Cleveland.

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