دانلود رایگان مقاله بازنگری کارایی پیش بینی نسبی کارکنان فدرال و پیش بینی کننده خصوصی

abstract

This paper aims to extend the findings of Romer and Romer (2000) to a setup where the time variation of (relative) forecast performances is addressed in much greater detail. We show that the relative forecast performances of Fed staff and private forecasters are not stable in the presence of large macroeconomic shocks such as the Great Moderation and the oil price shocks of the 1970s. Furthermore, we show that the predictive ability of the staff outperforms that of private forecasters in the presence of specific factors, such as an increased uncertainty in the economy and the staff’s better knowledge of the Fed’s future interest rate. © 2016 Published by Elsevier B.V. on behalf of International Institute of Forecasters.

5. Conclusions

Several explanations for the Fed’s information advantage have been proposed in the literature. There are three prominent explanations: (i) the Fed’s thorough forecasting process, including a vast range of resources devoted to the forecasting of macroeconomic variables; (ii) the Fed’s knowledge of its own probable policy actions and its comparative advantage in collecting detailed information about current and recent movements in the economy; and (iii) the Fed’s privileged access to confidential data based on its bank supervisory authority. Of these, Romer and Romer (2000) reject the ideas of inside information by staff on the future interest rate path, an early access to government statistics, and a better knowledge of data revisions as possible explanations.