Raiders of the lost high-frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting |
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Authors: | Andrew C. Chang Trace J. Levinson |
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Affiliation: | Division of Research and Statistics, Board of Governors of the Federal Reserve System, Washington, D.C, USA |
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Abstract: | We introduce a new dataset of real gross domestic product (GDP) growth and core personal consumption expenditures (PCE) inflation forecasts produced by the staff of the Board of Governors of the Federal Reserve System. In contrast to the eight Greenbook forecasts a year the staff produce for Federal Open Market Committee (FOMC) meetings, our dataset has roughly weekly forecasts. We use these data to study whether the staff forecasts efficiently. Prespecified regressions of forecast errors on forecast revisions show the staff's GDP forecasts exhibit time-varying inefficiency between FOMC meetings, and also show some evidence for inefficient inflation forecasts. |
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Keywords: | Federal Reserve forecast efficiency high-frequency forecasts information rigidities preanalysis plan preregistration plan real-time data |
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