Does Central Bank Staff Beat Private Forecasters?

Arbeitspapier

In the tradition of Romer and Romer (2000), this paper compares staff forecasts of the Federal Reserve (Fed) and the European Central Bank (ECB) for inflation and output with corresponding private forecasts. Standard tests show that the Fed and less so the ECB have a considerable information advantage about inflation and output. Using novel tests for conditional predictive ability and forecast stability for the US, we identify the driving forces of the narrowing of the information advantage of Greenbook forecasts coinciding with the Great Moderation.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IWH Discussion Papers ; No. 5/2012

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: relative forecast performance ; forecast stability ; staff forecasts ; private forecasts ; real-time data ; Relative Prognosegüte ; Prognosestabilität ; private Prognose ; Zentralbankstabprognosen ; Echtzeitdaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): El-Shagi, Makram ; Giesen, Sebastian ; Jung, Alexander
• Event: Veröffentlichung
• (who): Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
• (where): Halle (Saale)
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/66851
• URN: urn:nbn:de:101:1-201212176774
• Last update: 10.03.2025, 11:43 AM CET