forecasting

A Defence of the FOMC

JEL codes: 
C53, E52, E58
Version Date: 
Sep 2009
Author/s: 
Abstract: 

We defend the forecasting performance of the FOMC from the recent criticism of Christina and David Romer. Our argument is that the FOMC forecasts a
worst-case scenario that it uses to design decisions that will work well enough (are robust) despite possible misspecification of its model. Because these

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What does a financial system say about future economic growth?

JEL codes: 
E43, E44, G12
Version Date: 
Dec 2008
Author/s: 
Abstract: 

In many research studies it is argued that it is possible to extract useful information about future economic growth from the performance of financial markets.

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Macroeconomic Asymmetry in the European Union: The Difference Between New and Old Members

Version Date: 
Dec 2004
Author/s: 
Abstract: 

We study the degree of output and consumption asymmetry for the ten new and fifteen original European Union members during the period 1994–2001. We establish basic stylized facts about macroeconomic asymmetry from correlations of GDP and consumption growth rates with corresponding aggregates.

Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

JEL codes: 
C33, C53, E52
Version Date: 
Jul 2005
Abstract: 

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving conditioning information set.

Data Revisions Are Not Well-Behaved

JEL codes: 
C22, C53, C82
Version Date: 
Sep 2005
Abstract: 

We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased.

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