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Does Central Bank Staff Beat Private Forecasters?

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  • Makram El-Shagi
  • Sebastian Giesen
  • A. Jung

Abstract

In the tradition of Romer and Romer (2000), this paper compares staff forecasts of the Federal Reserve (Fed) and the European Central Bank (ECB) for inflation and output with corresponding private forecasts. Standard tests show that the Fed and less so the ECB have a considerable information advantage about inflation and output. Using novel tests for conditional predictive ability and forecast stability for the US, we identify the driving forces of the narrowing of the information advantage of Greenbook forecasts coinciding with the Great Moderation.

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Bibliographic Info

Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 5.

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Date of creation: Jul 2012
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Handle: RePEc:iwh:dispap:5-12

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Keywords: relative forecast performance; forecast stability; staff forecasts; private forecasts; real-time data;

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