Federal Reserve information during the great moderation
AbstractUsing data from the period 1970-1991, Romer and Romer (2000) showed that Federal Reserve forecasts of inflation and output were superior to those provided by commercial forecasters. In this paper, we show that this superior forecasting performance deteriorated after 1991. Over the decade 1992-2001, the superior forecast accuracy of the Fed held only over a very short time horizon and was limited to its forecasts of inflation. In addition, the performance of both the Fed and the commercial forecasters in predicting inflation and output, relative to that of “naive” benchmark models, dropped remarkably during this period.
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Bibliographic InfoPaper provided by University College Dublin in its series Open Access publications from University College Dublin with number urn:hdl:10197/252.
Date of creation: Apr 2008
Date of revision:
Publication status: Published in Journal of the European Economic Association (2008-04) v.6, p.609-620
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Web page: http://www.ucd.ie
Board of Governors of the Federal Reserve System (U.S.); Inflation (Finance); Economic forecasting;
Other versions of this item:
- Antonello D'Agostino & Karl Whelan, 2008. "Federal Reserve Information During the Great Moderation," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 609-620, 04-05.
- Antonello D’Agostino & Karl Whelan, 2007. "Federal Reserve Information during the Great Moderation," Working Papers 200722, School Of Economics, University College Dublin.
- D'Agostino, Antonello & Whelan, Karl, 2007. "Federal Reserve Information During the Great Moderation," Research Technical Papers 8/RT/07, Central Bank of Ireland.
- D'Agostino, Antonello & Whelan, Karl, 2007. "Federal Reserve information during the great moderation," Open Access publications from University College Dublin urn:hdl:10197/235, University College Dublin.
- D'Agostino, A & Whelan, K, 2007. "Federal Reserve Information During the Great Moderation," MPRA Paper 6092, University Library of Munich, Germany.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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