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Does Central Bank Staff Beat Private Forecasters?

  • Makram El-Shagi
  • Sebastian Giesen
  • A. Jung

In the tradition of Romer and Romer (2000), this paper compares staff forecasts of the Federal Reserve (Fed) and the European Central Bank (ECB) for inflation and output with corresponding private forecasts. Standard tests show that the Fed and less so the ECB have a considerable information advantage about inflation and output. Using novel tests for conditional predictive ability and forecast stability for the US, we identify the driving forces of the narrowing of the information advantage of Greenbook forecasts coinciding with the Great Moderation.

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Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 5.

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Date of creation: Jul 2012
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Handle: RePEc:iwh:dispap:5-12
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  1. Peter Tulip, 2009. "Has the Economy Become More Predictable? Changes in Greenbook Forecast Accuracy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1217-1231, 09.
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  7. D'Agostino, A & Whelan, K, 2007. "Federal Reserve Information During the Great Moderation," MPRA Paper 6092, University Library of Munich, Germany.
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  18. Kenny, Geoff & Morgan, Julian, 2011. "Some lessons from the financial crisis for the economic analysis," Occasional Paper Series 130, European Central Bank.
  19. Philippe Moutot & Alexander Jung & Francesco Paolo Mongelli, 2008. "The working of the eurosystem - monetary policy preparations and decision-making – selected issues," Occasional Paper Series 79, European Central Bank.
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