(Un)Predictability and macroeconomic stability

Arbeitspapier

This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve’s Greenbook and the Survey of Professional Forecasters, we show that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s. This break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the ‘Great Moderation’.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 605

Classification and Topics

• Classification: Wirtschaft ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Forecasting Models; Simulation Methods
• Subject: Fed Greenbook ; forecasting models ; macroeconomic stability ; predictive accuracy ; sub-sample analysis ; Wirtschaftsprognose ; Prognoseverfahren ; USA ; Wirkungsanalyse ; Gleichgewichtsmodell

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): D’Agostino, Antonello ; Giannone, Domenico ; Surico, Paolo
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/153039
• Last update: 10.03.2025, 11:48 AM CET