Federal Reserve Information during the Great Moderation

Journal of the European Economic Association, Forthcoming

15 Pages Posted: 6 Dec 2007

See all articles by Antonello D'Agostino

Antonello D'Agostino

European Stability Mechanism; Central Bank and Financial Services Authority of Ireland - Economic Analysis and Research Department

Karl Whelan

University College Dublin (UCD)

Abstract

Using data from the period 1970-1991, Romer and Romer (2000) showed that Federal Reserve forecasts of inflation and output were superior to those provided by commercial forecasters. In this paper, we show that this superior forecasting performance deteriorated after 1991. Over the decade 1992-2001, the superior forecast accuracy of the Fed held only over a very short time horizon and was limited to its forecasts of inflation. In addition, the performance of both the Fed and the commercial forecasters in predicting inflation and output, relative to that of naive benchmark models, dropped remarkably during this period.

JEL Classification: C53, E52

Suggested Citation

D'Agostino, Antonello and Whelan, Karl, Federal Reserve Information during the Great Moderation. Journal of the European Economic Association, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1054381

Antonello D'Agostino (Contact Author)

European Stability Mechanism ( email )

6a Circuit de la Foire Internationale
L-1347
Luxembourg

Central Bank and Financial Services Authority of Ireland - Economic Analysis and Research Department ( email )

Dame Street
P.O. Box 559
Dublin 2
Ireland

Karl Whelan

University College Dublin (UCD) ( email )

Belfield
Belfield, Dublin 4 4
Ireland

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
75
Abstract Views
806
Rank
571,914
PlumX Metrics