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Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences

Author

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  • Onorante, Luca
  • Alessi, Lucia
  • Ghysels, Eric
  • Potter, Simon
  • Peach, Richard

Abstract

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between staff at the two institutions, allowing us to study the time-stamped forecasts as they were made throughout the crisis. The analysis does not exclusively focuses on point forecast performance. It also examines methodological contributions, including how financial market data could have been incorporated into the forecasting process. JEL Classification: C53, E37

Suggested Citation

  • Onorante, Luca & Alessi, Lucia & Ghysels, Eric & Potter, Simon & Peach, Richard, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Working Paper Series 1688, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20141688
    Note: 412615
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    More about this item

    Keywords

    forecast evaluation; mixed frequency data sampling;

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G01 - Financial Economics - - General - - - Financial Crises
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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