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An Empirical Review of Federal Reserve’s Informational Advantage

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Abstract

Since Romer and Romer (2000), a large literature has dealt with the relative forecasting performance of Greenbook macroeconomic forecasts of the Federal Reserve. This paper empirically reviews the existing results by comparing the different methods, data and samples used previously. The sample period is extended compared to previous studies and both real-time and final data are considered. We confirm that the Fed has a superior forecasting performance on inflation but not on output. In addition, we show that the longer the horizon, the more pronounced the advantage of Fed on inflation and that this superi- ority seems to decrease but remains prominent in the more recent period. The second objective of this paper is to underline the potential sources of this supe- riority. It appears that it may stem from better information rather than from a better model of the economy.
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  • Paul Hubert, 2009. "An Empirical Review of Federal Reserve’s Informational Advantage," Documents de Travail de l'OFCE 2009-03, Observatoire Francais des Conjonctures Economiques (OFCE).
    • Handle: RePEc:fce:doctra:0903
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    Cited by:

    1. Ahrens, Steffen & Lustenhouwer, Joep & Tettamanzi, Michele, 2017. "The Stabilizing Role of Forward Guidance: A Macro Experiment," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168063, Verein für Socialpolitik / German Economic Association.
    2. Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," SciencePo Working papers Main hal-03459227, HAL.
    3. repec:hal:spmain:info:hdl:2441/7mota32nad8aopst8f7d5aebpo is not listed on IDEAS
    4. repec:spo:wpmain:info:hdl:2441/64veevce0i99oav223j3pkv1hf is not listed on IDEAS
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    6. Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does monetary policy generate asset price bubbles ?," SciencePo Working papers Main hal-03471824, HAL.
    7. repec:hal:spmain:info:hdl:2441/4evh7bju58uep3gd1frcn5nr9 is not listed on IDEAS
    8. repec:spo:wpmain:info:hdl:2441/7mota32nad8aopst8f7d5aebpo is not listed on IDEAS
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    11. Paul Hubert & Fabien Labondance, 2016. "Central Bank Sentiment and Policy Expectations," Working Papers hal-03471878, HAL.
    12. Paul Hubert, 2015. "Do Central Bank Forecasts Influence Private Agents? Forecasting Performance versus Signals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 771-789, June.
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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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