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Activity Number: 312 - Macroeconomic Forecasting in Theory and Practice
Type: Topic-Contributed
Date/Time: Wednesday, August 11, 2021 : 3:30 PM to 5:20 PM
Sponsor: Business and Economic Statistics Section
Abstract #317148
Title: Forecasting FOMC Forecasts
Author(s): Jaime Marquez* and S. Yanki Kalfa
Companies: Johns Hopkins University and Rady School of Managment University of California @ San Diego
Keywords: Forecasts; FOMC; Autometrics; FIML; Greenbook; VAR
Abstract:

Hendry's (1980, p. 403) three golden rules of econometrics are "test, test, and test". The current paper applies that approach to model the forecasts of the Federal Open Market Committee over 1992---2019 and to forecast those forecasts themselves. Monetary policy is forward-looking and, as part of the FOMC's effort for transparency, the FOMC publishes its (forward-looking) economic projections. The overall views on the economy of the FOMC participants--as characterized by the median of their projections for inflation, unemployment, and the Fed's policy rate--are themselves predictable on information publicly available at the time of the FOMC's meeting. Their projections also communicate systematic behavior on the part of the FOMC's participants.


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