Does the federal reserve staff still beat private forecasters?

Arbeitspapier

The aim of this paper is to assess whether the findings of Romer and Romer (2000) on the superiority of staff forecasts are still valid today. The paper uses both latest available econometric techniques as well as conventional tests. Several tests for forecast rationality show that a necessary condition for good forecast performance is satisfied both for Greenbook and private forecasts, as measured by the Survey of Professional Forecasters (SPF). Tests for forecast accuracy and the encompassing test confirm the superiority of Greenbook forecasts for inflation and output using an extended sample (1968 to 2006). The relative forecast performance is, however, not robust in the presence of large macroeconomic shocks such as the Great Moderation and oil price shocks. Other econometric tests show that a relative better forecast performance by staff is observed when there is increased uncertainty. Staff’s better knowledge about the Fed’s future interest rate path also plays an important role in this respect.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1635

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Monetary Policy ; Central Banks and Their Policies
• Subject: forecast performance ; forecast rationality ; forecast stability ; greenbook forecasts ; of professional forecasters ; survey

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): El-Shagi, Makram ; Giesen, Sebastian ; Jung, Alexander
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/154068
• Last update: 10.03.2025, 11:42 AM CET