Federal Reserve Information During the Great Moderation
Using 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 commerical forecasters in predicting inflation and output, relative to that of "naive" benchmark models, dropped remarkably during this period.
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References listed on IDEAS
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- Ben S. Bernanke, 2006. "Reflections on the yield curve and monetary policy," Speech 175, Board of Governors of the Federal Reserve System (U.S.).
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"(Un)Predictability and Macroeconomic Stability,"
Research Technical Papers
5/RT/06, Central Bank of Ireland.
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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.
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- repec:fip:fedgsq:y:2006:i:mar20 is not listed on IDEAS
- Peter Tulip, 2005. "Has output become more predictable? changes in Greenbook forecast accuracy," Finance and Economics Discussion Series 2005-31, Board of Governors of the Federal Reserve System (U.S.).
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