What's the Story? A New Perspective on the Value of Economic Forecasts
Author
Abstract
Suggested Citation
DOI: 10.17016/FEDS.2017.107r1
Download full text from publisher
References listed on IDEAS
- Sinclair, Tara M. & Joutz, Fred & Stekler, H.O., 2010.
"Can the Fed predict the state of the economy?,"
Economics Letters, Elsevier, vol. 108(1), pages 28-32, July.
- Tara M. Sinclair & Fred Joutz & Herman O. Stekler, 2009. "Can the Fed Predict the State of the Economy?," Working Papers 2009-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Mar 2010.
- Tara Sinclair & Frederick L. Joutz, 2009. "Can the Fed Predict the State of the Economy?," Working Papers 2008-06, The George Washington University, Institute for International Economic Policy.
- Carlos Carvalho & Eric Hsu & Fernanda Nechio, 2016.
"Measuring the effect of the zero lower bound on monetary policy,"
Working Paper Series
2016-6, Federal Reserve Bank of San Francisco.
- Carlos Viana de Carvalho & EriC Hsu & Fernanda Necchio, 2016. "Measuring the Effect of the Zero Lower Bound on Monetary Policy," Textos para discussão 649, Department of Economics PUC-Rio (Brazil).
- Olivier Coibion & Yuriy Gorodnichenko, 2012.
"What Can Survey Forecasts Tell Us about Information Rigidities?,"
Journal of Political Economy, University of Chicago Press, vol. 120(1), pages 116-159.
- Olivier Coibion & Yuriy Gorodnichenko, 2008. "What Can Survey Forecasts Tell Us About Informational Rigidities?," NBER Working Papers 14586, National Bureau of Economic Research, Inc.
- Yuriy Gorodnichenko & Olivier Coibion, 2010. "What can survey forecasts tell us about informational rigidities?," 2010 Meeting Papers 277, Society for Economic Dynamics.
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Aggarwal, Raj & Mohanty, Sunil & Song, Frank, 1995. "Are Survey Forecasts of Macroeconomic Variables Rational?," The Journal of Business, University of Chicago Press, vol. 68(1), pages 99-119, January.
- Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007.
"Market-Based Measures of Monetary Policy Expectations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2002. "Market-based measures of monetary policy expectations," Finance and Economics Discussion Series 2002-40, Board of Governors of the Federal Reserve System (U.S.).
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2006. "Market-based measures of monetary policy expectations," Working Paper Series 2006-04, Federal Reserve Bank of San Francisco.
- 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.
- D'Agostino, A & Whelan, K, 2007. "Federal Reserve Information During the Great Moderation," MPRA Paper 6092, University Library of Munich, Germany.
- Antonello D'Agostino & Karl Whelan, 2007. "Federal Reserve Information during the great moderation," Working Papers 200722, School of Economics, University College Dublin.
- Karl Whelan & Antonello D'Agostino, 2007. "Federal Reserve information during the great moderation," Open Access publications 10197/235, School of Economics, University College Dublin.
- Karl Whelan & Antonello D'Agostino, 2008. "Federal Reserve information during the great moderation," Open Access publications 10197/252, 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.
- Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
- Adam Hale Shapiro & Moritz Sudhof & Daniel J. Wilson, 2017. "Measuring News Sentiment," Working Paper Series 2017-1, Federal Reserve Bank of San Francisco.
- Campbell, John Y., 1987.
"Stock returns and the term structure,"
Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
- John Y. Campbell, 1985. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc.
- Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
- Stark, Tom & Croushore, Dean, 2002.
"Forecasting with a real-time data set for macroeconomists,"
Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
- Dean Croushore & Tom Stark, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia.
- Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
- Martin Lettau & Sydney Ludvigson, 2001.
"Consumption, Aggregate Wealth, and Expected Stock Returns,"
Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- James H. Stock & Mark W. Watson, 2007. "Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1849-1849, October.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016.
"Measuring Economic Policy Uncertainty,"
The Quarterly Journal of Economics, Oxford University Press, vol. 131(4), pages 1593-1636.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2015. "Measuring Economic Policy Uncertainty," Economics Working Papers 15111, Hoover Institution, Stanford University.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2015. "Measuring Economic Policy Uncertainty," NBER Working Papers 21633, National Bureau of Economic Research, Inc.
- Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2015. "Measuring Economic Policy Uncertainty," CEP Discussion Papers dp1379, Centre for Economic Performance, LSE.
- Baker, Scott R. & Bloom, Nicholas & Davis, Steven J., 2015. "Measuring economic policy uncertainty," LSE Research Online Documents on Economics 64986, London School of Economics and Political Science, LSE Library.
- Baker, Scott R. & Bloom, Nicholas & Davis, Steven J, 2015. "Measuring Economic Policy Uncertainty," CEPR Discussion Papers 10900, C.E.P.R. Discussion Papers.
- Asquith, Paul & Mikhail, Michael B. & Au, Andrea S., 2005. "Information content of equity analyst reports," Journal of Financial Economics, Elsevier, vol. 75(2), pages 245-282, February.
- James H. Stock & Mark W.Watson, 2003.
"Forecasting Output and Inflation: The Role of Asset Prices,"
Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
- David H. Romer & Christina D. Romer, 2000. "Federal Reserve Information and the Behavior of Interest Rates," American Economic Review, American Economic Association, vol. 90(3), pages 429-457, June.
- Simon Gilchrist & Egon Zakrajsek, 2012.
"Credit Spreads and Business Cycle Fluctuations,"
American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
- Simon Gilchrist & Egon Zakrajšek, 2011. "Credit Spreads and Business Cycle Fluctuations," NBER Working Papers 17021, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2007.
"Why Has U.S. Inflation Become Harder to Forecast?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, February.
- James H. Stock & Mark W. Watson, 2006. "Why Has U.S. Inflation Become Harder to Forecast?," NBER Working Papers 12324, National Bureau of Economic Research, Inc.
- Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
- Rudebusch, Glenn D. & Williams, John C., 2009.
"Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 492-503.
- Glenn D. Rudebusch & John C. Williams, 2007. "Forecasting recessions: the puzzle of the enduring power of the yield curve," Working Paper Series 2007-16, Federal Reserve Bank of San Francisco.
- Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- Croushore, Dean & Stark, Tom, 2001.
"A real-time data set for macroeconomists,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
- Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
- Andrew Atkeson & Lee E. Ohanian, 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 25(Win), pages 2-11.
- Ball, Ray, 1978. "Anomalies in relationships between securities' yields and yield-surrogates," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 103-126.
More about this item
Keywords
Economic Forecasts; Monetary policy; Text Analysis;JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G40 - Financial Economics - - Behavioral Finance - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2017-11-12 (Big Data)
- NEP-FOR-2017-11-12 (Forecasting)
- NEP-MAC-2017-11-12 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgfe:2017-107. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/frbgvus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.