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Where is the Fed in the distribution of forecasters?

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  • Gamber, Edward N.
  • Smith, Julie K.
  • McNamara, Dylan C.

Abstract

Previous research comparing the Fed's Greenbook forecasts with a median forecast from a private-sector panel has found that the Fed's forecasts are superior. These comparisons potentially miss information from other parts of the distribution of forecast errors. We compare the Fed's forecast errors to the upper and lower quartiles from the Survey of Professional Forecasters’ forecast errors and find that errors in the lower quartile are significantly smaller. We further investigate whether the forecasters who produced those forecast errors can be identified ex-ante and find that while possible the practicality of this finding is limited due to forecaster turnover.

Suggested Citation

  • Gamber, Edward N. & Smith, Julie K. & McNamara, Dylan C., 2014. "Where is the Fed in the distribution of forecasters?," Journal of Policy Modeling, Elsevier, vol. 36(2), pages 296-312.
    • Handle: RePEc:eee:jpolmo:v:36:y:2014:i:2:p:296-312
    DOI: 10.1016/j.jpolmod.2013.11.002
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    References listed on IDEAS

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    Cited by:

    1. Constantin Bürgi & Tara M. Sinclair, 2017. "A nonparametric approach to identifying a subset of forecasters that outperforms the simple average," Empirical Economics, Springer, vol. 53(1), pages 101-115, August.
    2. Gamber, Edward N. & Liebner, Jeffrey P. & Smith, Julie K., 2015. "The distribution of inflation forecast errors," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 47-64.
    3. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    4. Ekşi Ozan & Orman Cüneyt & Taş Bedri Kamil Onur, 2017. "Has the forecasting performance of the Federal Reserve’s Greenbooks changed over time?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 17(2), pages 1-25, June.
    5. Tim Köhler & Jörg Döpke, 2023. "Will the last be the first? Ranking German macroeconomic forecasters based on different criteria," Empirical Economics, Springer, vol. 64(2), pages 797-832, February.

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    More about this item

    Keywords

    Monetary policy; Forecasting;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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