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The Superiority of Greenbook Forecasts and the Role of Recessions

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  • Kishor N. Kundan

    (University of Wisconsin-Milwaukee)

Abstract

In this paper, we investigate the role of recessions on the relative forecasting performance of the Fed and the private sector. Romer and Romer (2000) showed that the Fed's forecasts of inflation and output were superior to that of the private sector in the pre-1991 period. D'Agostino and Whelan (2008) found that the information superiority of the Fed deteriorated after 1991. Our results show that the information superiority of the Fed in forecasting real activity did arise from its forecasting dominance during recessions. If recessions are excluded from the pre-1992 period, the informational advantage of the Fed disappears, and in some cases, private sector forecasts perform better. We do not find any systematic effect of recessions on inflation forecasts.

Suggested Citation

  • Kishor N. Kundan, 2010. "The Superiority of Greenbook Forecasts and the Role of Recessions," NBP Working Papers 74, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:74
    Note: The paper was presented at the National Bank of Poland’s conference „Publishing central banks forecast in theory and practice” held on 5–6 November 2009 in Warsaw.
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    File URL: https://static.nbp.pl/publikacje/materialy-i-studia/74_en.pdf
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    References listed on IDEAS

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    1. 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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    1. What can you do with a DSGE model?
      by Noah Smith in Noahpinion on 2013-05-28 01:05:00

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    Cited by:

    1. Carola Conces Binder & Rodrigo Sekkel, 2023. "Central Bank Forecasting: A Survey," Staff Working Papers 23-18, Bank of Canada.
    2. Kishor, N. Kundan, 2023. "Estimating Expected Asset Returns With the Present Value Model of Consumption and Fed Forecasts," MPRA Paper 119617, University Library of Munich, Germany.

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    More about this item

    Keywords

    Greenbook Forecasts; Recessions; Business Cycle Turning Points;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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