Directional forecasts of GDP and inflation: a joint evaluation with an application to Federal Reserve predictions
AbstractMany studies have undertaken separate analyses of the Fed's forecasts of real Gross Domestic Product (GDP) growth and inflation. This article presents a method for jointly evaluating the direction of change predictions of these variables. We conclude that some of the inflation forecasts, examined separately, were not valuable. However, the joint pattern of GDP and inflation projections was generally in accord with the economy's movements. '… directional forecasting … is now an increasingly popular metric for forecasting performance….' (Pesaran and Timmermann, 2004, 414)
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 42 (2010)
Issue (Month): 18 ()
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- Tara M. Sinclair & Edward N. Gamber & H.O. Stekler & Elizabeth Reid, 2008.
"Jointly Evaluating the Federal Reserve’s Forecasts of GDP Growth and Inflation,"
2008-002, The George Washington University, Department of Economics, Research Program on Forecasting, revised Mar 2011.
- Sinclair, Tara M. & Gamber, Edward N. & Stekler, Herman & Reid, Elizabeth, 2012. "Jointly evaluating the Federal Reserve’s forecasts of GDP growth and inflation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 309-314.
- Tsuchiya, Yoichi, 2013. "Are government and IMF forecasts useful? An application of a new market-timing test," Economics Letters, Elsevier, vol. 118(1), pages 118-120.
- Gamber, Edward N. & Smith, Julie K., 2009.
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Elsevier, vol. 31(2), pages 240-251, June.
- Edward N. Gamber & Julie K. Smith, 2007. "Are the Fed’s Inflation Forecasts Still Superior to the Private Sector’s?," Working Papers 2007-002, The George Washington University, Department of Economics, Research Program on Forecasting, revised Jul 2008.
- Yoichi Tsuchiya, 2012. "Is the Purchasing Managers' Index useful for assessing the economy's strength? A directional analysis," Economics Bulletin, AccessEcon, vol. 32(2), pages 1302-1311.
- Hamid Baghestani, 2014. "On the loss structure of federal reserve forecasts of output growth," Journal of Economics and Finance, Springer, vol. 38(3), pages 518-527, July.
- Tara M. Sinclair & H.O. Stekler & Warren Carnow, 2012.
"Evaluating A Vector Of The Fed’S Forecasts,"
2012-002, The George Washington University, Department of Economics, Research Program on Forecasting.
- Baghestani, Hamid & Khallaf, Ashraf, 2012. "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 222-229.
- Tara Sinclair & Herman O. Stekler & Warren Carnow, 2012.
"A New Approach For Evaluating Economic Forecasts,"
2012-2, The George Washington University, Institute for International Economic Policy.
- Tsuchiya, Yoichi, 2014. "Purchasing and supply managers provide early clues on the direction of the US economy: An application of a new market-timing test," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 599-618.
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