Evaluating a Vector of the Fed's Forecasts
AbstractIn this paper we present a multivariate analysis of the Federal Reserveâ€™s forecasts. First, we evaluate the Fedâ€™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 Fedâ€™s forecasts of GDP growth, inflation, and unemployment taken together present an accurate overall view of the economic situation and compare the Fedâ€™s forecasts to those of the Survey of Professional Forecasters. We find that the Fedâ€™s forecasts were generally consistent with the overall conditions that actually occurred. We also find that the Fedâ€™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, Institute for International Economic Policy in its series Working Papers with number 2012-3.
Length: 26 pages
Date of creation: Mar 2012
Date of revision:
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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