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Gauging the uncertainty of the economic outlook using historical forecasting errors: The Federal Reserve’s approach
Citations
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Cited by:
- Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2022.
"Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 29-50,
Emerald Group Publishing Limited.
- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2015. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 5468, CESifo.
- Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2020. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 8810, CESifo.
- Carola Conces Binder & Rodrigo Sekkel, 2024.
"Central bank forecasting: A survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 342-364, April.
- Carola Conces Binder & Rodrigo Sekkel, 2023. "Central Bank Forecasting: A Survey," Staff Working Papers 23-18, Bank of Canada.
- Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
- Mary C. Daly, 2023.
"What the Moment Demands,"
FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2023(30), pages 1-6, November.
- Mary C. Daly, 2023. "What the Moment Demands," Speech 97336, Federal Reserve Bank of San Francisco.
- Bundick, Brent & Herriford, Trenton & Smith, A. Lee, 2024.
"The Term Structure of Monetary Policy Uncertainty,"
Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
- Brent Bundick & Trenton Herriford & Andrew Lee Smith, 2022. "The Term Structure of Monetary Policy Uncertainty," Research Working Paper RWP 2022-02, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Gergely Ganics & Elmar Mertens, 2022.
"Constructing Fan Charts from the Ragged Edge of SPF Forecasts,"
Working Papers
22-36, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Working Papers 2429, Banco de España.
- Clark, Todd E. & Ganics, Gergely & Mertens, Elmar, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Discussion Papers 38/2024, Deutsche Bundesbank.
- Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing Fan Charts from the Ragged Edge of SPF Forecasts," Working Papers 22-36R, Federal Reserve Bank of Cleveland.
- Adams, Patrick A. & Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2021.
"Forecasting macroeconomic risks,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1173-1191.
- Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020. "Forecasting Macroeconomic Risks," CEPR Discussion Papers 14436, C.E.P.R. Discussion Papers.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
- Martinez, Andrew & Schibuola, Alex, 2021. "The Expectations Gap: An Alternative Measure of Economic Slack," Working Papers 11284, George Mason University, Mercatus Center.
- Kevin L Kliesen, 2023.
"A Comparison of Fed "Tightening" Episodes since the 1980s,"
International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 423-450, August.
- Kevin L. Kliesen, 2020. "A Comparison of Fed "Tightening" Episodes since the 1980s," Working Papers 2020-003, Federal Reserve Bank of St. Louis, revised 31 Jan 2022.
- Tsuchiya, Yoichi, 2023. "Assessing the World Bank’s growth forecasts," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 64-84.
- G. Kontogeorgos & K. Lambrias, 2022. "Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 213-229, March.
- Derrick Kanngiesser & Tim Willems, 2024. "Forecast accuracy and efficiency at the Bank of England – and how errors can be leveraged to do better," Bank of England working papers 1078, Bank of England.
- Knotek, Edward S. & Zaman, Saeed, 2023.
"Real-time density nowcasts of US inflation: A model combination approach,"
International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
- Edward Knotek & Saeed Zaman, 2020. "Real-time density nowcasts of US inflation: a model-combination approach," Working Papers 2015, University of Strathclyde Business School, Department of Economics.
- Edward S. Knotek & Saeed Zaman, 2020. "Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach," Working Papers 20-31, Federal Reserve Bank of Cleveland.
- Marián Vávra, 2020.
"Assessing distributional properties of forecast errors for fan-chart modelling,"
Empirical Economics, Springer, vol. 59(6), pages 2841-2858, December.
- Marian Vavra, 2018. "Assessing Distributional Properties of Forecast Errors," Working and Discussion Papers WP 3/2018, Research Department, National Bank of Slovakia.
- Daniel H. Cooper & Giovanni P. Olivei & Hannah Rhodenhiser, 2025. "Forecasting U.S. Economic Activity with a Small Information Set," Working Papers 25-4, Federal Reserve Bank of Boston.
- Petrella, Ivan & Santoro, Emiliano & Winkelmann, Yannik, 2025.
"Inflation and price flexibility,"
European Economic Review, Elsevier, vol. 178(C).
- Petrella Ivan & Santoro Emiliano & Winkelmann Yannik, 2025. "Inflation and Price Flexibility," Working papers 099, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Fabian Kruger & Hendrik Plett, 2022. "Prediction intervals for economic fixed-event forecasts," Papers 2210.13562, arXiv.org, revised Mar 2024.
- Tsuchiya, Yoichi, 2022. "Evaluating the European Central Bank’s uncertainty forecasts," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 321-330.
- Philip Hans Franses, 2021. "Modeling Judgment in Macroeconomic Forecasts," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 401-417, December.
- James Mitchell & Martin Weale, 2023.
"Censored density forecasts: Production and evaluation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(5), pages 714-734, August.
- James Mitchell & Martin Weale, 2021. "Censored Density Forecasts: Production and Evaluation," Working Papers 21-12R, Federal Reserve Bank of Cleveland, revised 16 Aug 2022.
- Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt, 2019.
"Testing Forecast Rationality for Measures of Central Tendency,"
Papers
1910.12545, arXiv.org, revised Jul 2024.
- Dimitriadis, Timo & Patton, Andrew J. & Schmidt, Patrick W., 2020. "Testing forecast rationality for measures of central tendency," Hohenheim Discussion Papers in Business, Economics and Social Sciences 12-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Andrew C. Chang & Trace J. Levinson, 2023. "Raiders of the lost high‐frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 88-104, January.
- Ding, Yibing & Liu, Ziyu & Liu, Dayu, 2022. "Structural news shock, financial market uncertainty and China's business fluctuations," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
- Arai, Natsuki & Iizuka, Nobuo & Yamamoto, Yohei, 2024. "The efficiency of the Japanese government’s revenue projections," Economics Letters, Elsevier, vol. 244(C).
- Oscar Claveria, 2021. "Disagreement on expectations: firms versus consumers," SN Business & Economics, Springer, vol. 1(12), pages 1-23, December.
- Gregory R. Duffee, 2023. "Macroeconomic News in Asset Pricing and Reality," Journal of Finance, American Finance Association, vol. 78(3), pages 1499-1543, June.