The Superiority of Greenbook Forecasts and the Role of Recessions
نویسنده
چکیده
In this paper, we examine the role of recessions on the relative forecasting performance of the Fed and the private sector. Romer and Romer (2000) show that the Feds forecasts of ination and output were superior to that of the private sector for the pre-1991 period. DAgostino and Whelan (2007) ndings suggest that the information superiority of the Fed deteriorated after 1991. Our results show that the information superiority of the Fed in forecasting real activity arose from its forecasting dominance during recessions. If recessions are excluded from pre-1991 period, the informational advantage of the Fed disappears, and in some cases private sector forecasts perform better. We do not nd any systematic e¤ect of recessions on ination forecasts.
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