Evaluating A Vector Of The Fed’S Forecasts
AbstractIn this paper we present a multivariate analysis of the Federal Reserve’s forecasts. First, we evaluate the Fed’s forecasts of the ten major expenditure categories of real GDP. Second, we present a new methodology for evaluating multivariate forecasts. Finally, we use the same methodology to determine whether the Fed’s forecasts of GDP growth, inflation, and unemployment taken together present an accurate overall view of the economic situation and compare the Fed’s forecasts to those of the Survey of Professional Forecasters. We find that the Fed’s forecasts were generally consistent with the overall conditions that actually occurred. We also find that the Fed’s forecasts and those of the Survey of Professional Forecasters are quite similar overall.
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Bibliographic InfoPaper provided by The George Washington University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2012-002.
Length: 26 pages
Date of creation: Jan 2012
Date of revision:
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More information through EDIRC
Federal Reserve; Forecast Evaluation; real GDP Expenditure Approach; Business Cycle; Mahalanobis Distance;
Other versions of this item:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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2009-001, The George Washington University, Department of Economics, Research Program on Forecasting, revised Mar 2010.
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- Tara M. Sinclair & H.O. Stekler, 2011.
"Examining the Quality of Early GDP Component Estimates,"
2011-001, The George Washington University, Department of Economics, Research Program on Forecasting, revised Dec 2011.
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- Christopher A. Sims, 2002. "The Role of Models and Probabilities in the Monetary Policy Process," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 1-62.
- Tara M. Sinclair & H.O. Stekler & Warren Carnow, 2012.
"A New Approach For Evaluating Economic Forecasts,"
2012-004, The George Washington University, Department of Economics, Research Program on Forecasting.
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