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Does Central Bank Staff Beat Private Forecasters?

Listed author(s):
  • Jung, Alexander
  • El-Shagi, Makram
  • Giesen, Sebastian

This paper assesses the relative performance of central bank staff forecasts and of private forecasters for inflation and output. We show that the Federal Reserve (Fed), and less so the European Central Bank (ECB), has a significant information advantage concerning inflation and output forecasts. Using recently developed tests for conditional predictive ability and forecast stability for the US, we find that the driving forces behind the narrowing of the information advantage of Greenbook forecasts have coincided with the Great Moderation.

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File URL: https://www.econstor.eu/bitstream/10419/79925/1/VfS_2013_pid_125.pdf
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Paper provided by Verein für Socialpolitik / German Economic Association in its series Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order with number 79925.

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Date of creation: 2013
Handle: RePEc:zbw:vfsc13:79925
Contact details of provider: Web page: http://www.socialpolitik.org/
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