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Are central bank projections rational?

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  • Jan-Christoph Rülke

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Abstract

Central bank projections have gained considerable attention for monetary policy modeling. However, less is known about the nature of central bank projections. This letter explores the unbiasedness and rationality of more than 2,000 growth and in ation projections published by 15 major central banks. The results indicate that central bank projections are in most cases rational and unbiased. Interestingly, in ation projections are more biased than growth projections.

Suggested Citation

  • Jan-Christoph Rülke, 2011. "Are central bank projections rational?," WHU Working Paper Series - Economics Group 11-05, WHU - Otto Beisheim School of Management.
  • Handle: RePEc:whu:wpaper:11-05
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    File URL: https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-4198
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    References listed on IDEAS

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    1. 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.
    2. Dovern, Jonas & Weisser, Johannes, 2011. "Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7," International Journal of Forecasting, Elsevier, vol. 27(2), pages 452-465.
    3. Elliott, Graham & Ito, Takatoshi, 1999. "Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market," Journal of Monetary Economics, Elsevier, vol. 43(2), pages 435-456, April.
    4. Ito, Takatoshi, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," American Economic Review, American Economic Association, vol. 80(3), pages 434-449, June.
    5. Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008. "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Journal of the European Economic Association, MIT Press, vol. 6(1), pages 122-157, March.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    7. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.
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    More about this item

    Keywords

    Central Banks; Projections; Rationality; Unbiasedness;

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • 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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