Arbeitspapier
The diversity of forecasts from macroeconomic models of the U.S. economy
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal Reserve's Greenbook and the Survey of Professional Forecasters (SPF). The model parameters and model forecasts are derived from historical data vintages so as to ensure comparability to historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts in terms of accuracy even though the models only make use of a small number of data series. Model forecasts compare particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity constitutes a potentially important source of economic fluctuations. While the particular reasons for diversity in professional forecasts are not observable, the diversity in model forecasts can be traced to different modeling assumptions, information sets and parameter estimates.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2010/08
- Classification
-
Wirtschaft
Forecasting Models; Simulation Methods
Expectations; Speculations
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
-
Forecasting
Business Cycles
Heterogeneous Beliefs
Forecast Distribution
Model Uncertainty
Bayesian Estimation
Konjunkturprognose
Inflationserwartung
Prognoseverfahren
Sachverständige
Vergleich
Ökonometrisches Makromodell
Konjunktur
Schätzung
USA
- Event
-
Geistige Schöpfung
- (who)
-
Wieland, Volker
Wolters, Maik H.
- Event
-
Veröffentlichung
- (who)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2010
- Handle
- URN
-
urn:nbn:de:hebis:30-78618
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wieland, Volker
- Wolters, Maik H.
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2010
Other Objects (12)
Zur Qualität der Dokumentation der Schockraumversorgung schwer Traumatisierter : ein Vergleich von primär EDV-gestützter und handschriftlicher Dokumentation
On the macroeconomic and fiscal effects of the tax cuts and jobs act
On the macroeconomic and fiscal effects of the Tax Cuts and Jobs Act
The decline in euro area inflation and the choice of policy strategy
Fiscal stimulus and the promise of future spending cuts: A comment
Monetary Policy and Uncertainty about the Natural Unemployment Rate
Macroeconomic model comparisons and forecast competition
Learning, endogenous indexation and disinflation in the New-Keynesian model
The new keynesian approach to dynamic general equilibrium modeling: Models, methods, and macroeconomic policy evaluation
Taylor rules and the inflation surge: The case of the Fed
Is there a threat of self-reinforcing deflation in the Euro area? A view through the lens of the Phillips curve
Is there a threat of self-reinforcing deflation in the euro area? A view through the lens of the Phillips curve
Zur Qualität der Dokumentation der Schockraumversorgung schwer Traumatisierter : ein Vergleich von primär EDV-gestützter und handschriftlicher Dokumentation
On the macroeconomic and fiscal effects of the tax cuts and jobs act
On the macroeconomic and fiscal effects of the Tax Cuts and Jobs Act
The decline in euro area inflation and the choice of policy strategy
Fiscal stimulus and the promise of future spending cuts: A comment
Monetary Policy and Uncertainty about the Natural Unemployment Rate
Macroeconomic model comparisons and forecast competition
Learning, endogenous indexation and disinflation in the New-Keynesian model
The new keynesian approach to dynamic general equilibrium modeling: Models, methods, and macroeconomic policy evaluation
Taylor rules and the inflation surge: The case of the Fed
Is there a threat of self-reinforcing deflation in the Euro area? A view through the lens of the Phillips curve
Is there a threat of self-reinforcing deflation in the euro area? A view through the lens of the Phillips curve
Zur Qualität der Dokumentation der Schockraumversorgung schwer Traumatisierter : ein Vergleich von primär EDV-gestützter und handschriftlicher Dokumentation
On the macroeconomic and fiscal effects of the tax cuts and jobs act
On the macroeconomic and fiscal effects of the Tax Cuts and Jobs Act
The decline in euro area inflation and the choice of policy strategy
Fiscal stimulus and the promise of future spending cuts: A comment
Monetary Policy and Uncertainty about the Natural Unemployment Rate
Macroeconomic model comparisons and forecast competition
Learning, endogenous indexation and disinflation in the New-Keynesian model
The new keynesian approach to dynamic general equilibrium modeling: Models, methods, and macroeconomic policy evaluation
Taylor rules and the inflation surge: The case of the Fed
Is there a threat of self-reinforcing deflation in the Euro area? A view through the lens of the Phillips curve