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Federal Reserve information during the great moderation

Author

Listed:
  • Karl Whelan
  • Antonello D'Agostino

Abstract

Using data from the period 1970-1991, Romer and Romer (2000) showed that Federal Reserve forecasts of inflation and output were superior to those provided by commercial forecasters. In this paper, we show that this superior forecasting performance deteriorated after 1991. Over the decade 1992-2001, the superior forecast accuracy of the Fed held only over a very short time horizon and was limited to its forecasts of inflation. In addition, the performance of both the Fed and the commercial forecasters in predicting inflation and output, relative to that of “naive” benchmark models, dropped remarkably during this period.

Suggested Citation

  • Karl Whelan & Antonello D'Agostino, 2008. "Federal Reserve information during the great moderation," Open Access publications 10197/252, School of Economics, University College Dublin.
    • Handle: RePEc:ucn:oapubs:10197/252
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    File URL: http://hdl.handle.net/10197/252
    File Function: Open Access version, 2008
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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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