Add to ORKGInflation forecasts of the Federal Reserve systematically under-predicted inflation before Volcker and systematically over-predicted it afterward. Furthermore, under quadratic loss, commercial forecasts have information not contained in those forecasts. To investigate the cause, this paper recovers the loss function implied by Federal Reserve’s forecasts. It finds that the cost of having inflation above an implicit time-varying target was larger than the cost of having inflation below it for the period since Volcker, and that the opposite was true for the pre-Volcker era. Once these asymmetries are taken into account, the Federal Reserve is found to be rational. (JEL C53, E52
The recent literature has suggested that macroeconomic forecasters may have asymmetric loss function...
Recent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, a...
This paper investigates the issue of rational expectations using inflation forecasts from the Survey...
Inflation forecasts of the Federal Reserve seem to have systematically under-predicted inflation fro...
La serie de Documentos de Investigación del Banco de México divulga resultados preliminares de tra...
This paper investigates the issue of rational expectations using inflation forecasts from the Survey...
We examine the relative improvement in forecasting accuracy of the Federal Reserve (Greenbook foreca...
December 2001 We provide evidence that private forecasters and the staff of the Federal Reserve use ...
Existing evidence suggests that the Federal Reserve forecasts of inflation imply asymmetric loss, as...
Through empirical analysis this paper shows that inflation forecasts produced for monetary policy co...
Through empirical analysis this paper shows that inflation forecasts produced for monetary policy co...
This paper investigates the issue of rational expectations using inflation forecasts from the Survey...
In the first of three related, and consecutive, papers we showed that forecasts for short-term polic...
In the first of three related, and consecutive, papers we showed that forecasts for short-term polic...
Central banks pay close attention to inflation expectations. In standard models, however, inflation ...
The recent literature has suggested that macroeconomic forecasters may have asymmetric loss function...
Recent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, a...
This paper investigates the issue of rational expectations using inflation forecasts from the Survey...
Inflation forecasts of the Federal Reserve seem to have systematically under-predicted inflation fro...
La serie de Documentos de Investigación del Banco de México divulga resultados preliminares de tra...
This paper investigates the issue of rational expectations using inflation forecasts from the Survey...
We examine the relative improvement in forecasting accuracy of the Federal Reserve (Greenbook foreca...
December 2001 We provide evidence that private forecasters and the staff of the Federal Reserve use ...
Existing evidence suggests that the Federal Reserve forecasts of inflation imply asymmetric loss, as...
Through empirical analysis this paper shows that inflation forecasts produced for monetary policy co...
Through empirical analysis this paper shows that inflation forecasts produced for monetary policy co...
This paper investigates the issue of rational expectations using inflation forecasts from the Survey...
In the first of three related, and consecutive, papers we showed that forecasts for short-term polic...
In the first of three related, and consecutive, papers we showed that forecasts for short-term polic...
Central banks pay close attention to inflation expectations. In standard models, however, inflation ...
The recent literature has suggested that macroeconomic forecasters may have asymmetric loss function...
Recent literature has suggested that macroeconomic forecasters may have asymmetric loss functions, a...
This paper investigates the issue of rational expectations using inflation forecasts from the Survey...