Type
Article
Titre
Revisiting the greenbook's relative forecasting performance
Dans
Revue de l'OFCE
Éditeur
Paris : Presses de Sciences Po
Numéro
137
Pages
151 - 179 p.
ISSN
12659576
Mots clés
Monetary Policy, Greenbook, Forecasts
Résumé
EN
Since Romer and Romer (2000), a large literature has dealt with the relative forecasting performance of Greenbook macroeconomic forecasts of the Federal Reserve. This paper empirically reviews the existing results by comparing the different methods, data and samples used previously. The sample period is extended compared to previous studies and both real-time and final data are considered. We confirm that the Fed has a superior forecasting performance on inflation but not on output. In addition, we show that the longer the horizon, the more pronounced the advantage of Fed on inflation and that this superi- ority seems to decrease but remains prominent in the more recent period. The second objective of this paper is to underline the potential sources of this supe- riority. It appears that it may stem from better information rather than from a better model of the economy.

CITATION BIBLIOGRAPHIQUE
EXPORT