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Federal Reserve Information During the Great Moderation

Author

Listed:
  • D'Agostino, Antonello

    (Central Bank and Financial Services Authority of Ireland)

  • Whelan, Karl

    (University College Dublin)

Abstract

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.

Suggested Citation

  • D'Agostino, Antonello & Whelan, Karl, 2007. "Federal Reserve Information During the Great Moderation," Research Technical Papers 8/RT/07, Central Bank of Ireland.
  • Handle: RePEc:cbi:wpaper:8/rt/07
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    References listed on IDEAS

    as
    1. Ben S. Bernanke, 2006. "Reflections on the yield curve and monetary policy," Speech 175, Board of Governors of the Federal Reserve System (U.S.).
    2. Faust Jon & Swanson Eric T & Wright Jonathan H, 2004. "Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-31, October.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • 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

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