Federal Reserve information during the great moderation

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Title: Federal Reserve information during the great moderation
Authors: Whelan, Karl
D'Agostino, Antonello
Permanent link: http://hdl.handle.net/10197/252
Date: Apr-2008
Abstract: Using data from the period 1970-1991, Romer and Romer (2000) showed that Federal Reserve forecasts of inflation and output were superior to those provided by commercial forecasters. In this paper, we show that this superior forecasting performance deteriorated after 1991. Over the decade 1992-2001, the superior forecast accuracy of the Fed held only over a very short time horizon and was limited to its forecasts of inflation. In addition, the performance of both the Fed and the commercial forecasters in predicting inflation and output, relative to that of “naive” benchmark models, dropped remarkably during this period.
Type of material: Journal Article
Publisher: MIT Press
Copyright (published version): Copyright 2008 by the European Economic Association
Subject LCSH: Board of Governors of the Federal Reserve System (U.S.)
Inflation (Finance)
Economic forecasting
Other versions: http://ssrn.com/abstract=1054381
Language: en
Status of Item: Peer reviewed
Appears in Collections:Economics Research Collection

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