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Asymmetry,Complementarities, and State Dependence in Federal Reserve Forecasts
Authors:JULIETA CAUNEDO  RICCARDO DICECIO  IVANA KOMUNJER  MICHAEL T. OWYANG
Abstract:Forecasts are a central component of policymaking; the Federal Reserve's forecasts are published in a document called the Greenbook. Previous studies of the Greenbook's inflation forecasts have found them to be rationalizable but asymmetric if considering particular subperiods, for example, before and after the Volcker appointment. In these papers, forecasts are analyzed in isolation, assuming policymakers value them independently. We analyze the Greenbook forecasts in a framework in which the forecast errors for different variables are allowed to interact. We find that allowing the losses to interact makes the unemployment forecasts virtually symmetric, the output forecasts symmetric prior to the Volcker appointment, and the inflation forecasts symmetric after the onset of the Great Moderation.
Keywords:C53  E47  E52  forecast rationality  loss function  Taylor rule  Greenbook forecasts  break tests
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