TY - JOUR
T1 - Has the forecasting performance of the Federal Reserve's Greenbooks changed over time?
AU - Ekşi, Ozan
AU - Orman, Cüneyt
AU - Taş, Bedri Kamil Onur
N1 - Publisher Copyright:
© 2017 Walter de Gruyter GmbH, Berlin/Boston.
PY - 2017/6
Y1 - 2017/6
N2 - We investigate how the forecasting performance of the Federal Reserve Greenbooks has changed relative to commercial forecasters between 1974 and 2009. To this end, we analyze time-variation in the Greenbook coefficients in forecast encompassing regressions. Assuming that model coefficients change continuously, we estimate unobserved components models using Bayesian inference techniques. To verify that our results do not depend on the specific way change is modeled, we also allow the coefficients to change discretely rather than continuously and test for structural breaks using classical inference techniques. We find that the Greenbook forecasts have been consistently superior to the commercial forecasts at all horizons throughout our sample period. Although the forecasting performance gap has narrowed at more distant horizons after the early-to-mid 1980s, it remains significant.
AB - We investigate how the forecasting performance of the Federal Reserve Greenbooks has changed relative to commercial forecasters between 1974 and 2009. To this end, we analyze time-variation in the Greenbook coefficients in forecast encompassing regressions. Assuming that model coefficients change continuously, we estimate unobserved components models using Bayesian inference techniques. To verify that our results do not depend on the specific way change is modeled, we also allow the coefficients to change discretely rather than continuously and test for structural breaks using classical inference techniques. We find that the Greenbook forecasts have been consistently superior to the commercial forecasts at all horizons throughout our sample period. Although the forecasting performance gap has narrowed at more distant horizons after the early-to-mid 1980s, it remains significant.
KW - Evaluating forecasts
KW - Greenbook inflation forecasts
KW - SPF inflation forecasts
KW - Time-variation in coefficients
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U2 - 10.1515/bejm-2016-0130
DO - 10.1515/bejm-2016-0130
M3 - Article
AN - SCOPUS:85029235031
SN - 1935-1690
VL - 17
JO - B.E. Journal of Macroeconomics
JF - B.E. Journal of Macroeconomics
IS - 2
M1 - 20160130
ER -