Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy

Peter Tulip

44 citations0/0 files storedFinance and Economics Discussion Series

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Market Dynamics and Volatility

Abstract

Several researchers have recently documented a large reduction in output volatility. In contrast, this paper examines whether output has become more predictable. Using forecasts from the Federal Reserve Greenbooks, I find the evidence is somewhat mixed. Output seems to have become more predictable at short horizons, but not necessarily at longer horizons. The reduction in unpredictability is much less than the reduction in volatility. Associated with this, recent forecasts had little predictive power.

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n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle 2000Federal Reserve Information and the Behavior of Interest Rates 2001The Long and Large Decline in U.S. Output Volatility 2001Are Phillips Curves Useful for Forecasting Inflation?2004Risk and Uncertainty in Monetary Policy 2003Has the Business Cycle Changed? Evidence and Explanations 2002The Role of Models and Probabilities in the Monetary Policy Process

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