Evaluating FOMC forecast ranges: an interval data approach

Research, Preprint English OPEN
Henning Fischer; Marta García-Bárzana; Peter Tillmann; Peter Winker;
(2012)
  • Publisher: Philipps University Marburg, Department of Business Administration & Economics Marburg
  • Subject: C53 | USA | Forecast evaluation, interval data, Federal Reserve, monetary policy | E37 | E58 | Prognoseverfahren | interval data | monetary policy | Forecast evaluation | Federal Reserve | Konjunkturprognose | Geldpolitik | Bewertung
    • jel: jel:C53 | jel:E58 | jel:E37
      ddc: ddc:330

The Federal Open Market Committee (FOMC) of the U.S. Federal Reserve publishes the range of members’ forecasts for key macroeconomic variables, but not the distribution of forecasts within this range. To evaluate these projections, previous papers compare the midpoint o... View more
  • References (34)
    34 references, page 1 of 4

    Banternghansa, C. and M.W. McCracken (2009). Forecast Disagreement Among FOMC Members. Working Paper 2009-059A, Federal Reserve Bank of St. Louis.

    Bernanke, B.S. (2011). Transcript of Chairman Bernanke's Press Conference - April 27, 2011. Board of Governors of the Federal Reserve System.

    Blanco-Fernandez, A., H. Fischer and P. Winker (2012a). Predicting Financial Asset Volatility: Point Data vis-a-vis Interval Data Models. MAGKS Joint Discussion Paper Series in Economics, forthcoming.

    Blanco-Fernandez, A., M. Garcia-Barzana, A. Colubi and E.J. Kontoghiorghes (2012b). Extensions of linear regression models based on set arithmetic for interval data. Working paper.

    Blanco-Fernandez, A., N. Corral and G. Gonzalez-Rodriguez (2011). Estimation of a flexible simple linear model for interval data based on set arithmetic. Computational Statistics & Data Analysis 55(9), 2568-2578.

    Capistr´an, C. (2008). Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?. Journal of Monetary Economics 55(8), 1415-1427.

    Capistr´an, C. and A. Timmermann (2009). Disagreement and Biases in Inflation Expectations. Journal of Money, Credit and Banking 41(2/3), 365-396.

    Chong, Y.Y. and D.F. Hendry (1986). Econometric Evaluation of Linear Macro-Economic Models. The Review of Economic Studies 53(4), 671-690.

    D'Agostino, A. and K. Whelan (2008). Federal Reserve Information during the Great Moderation. Journal of the European Economic Association 6(2-3), 609-620.

    Dowd, K. (2004). FOMC Forecasts of Macroeconomic Risks. Occasional Paper Series No. 2004-12, University of Nottingham.

  • Metrics
Share - Bookmark