| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11391 |
| DP11391 Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts | |
| Barbara Rossi; Tatevik Sekhposyan | |
| 发表日期 | 2016-07-14 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our framework is general: it can be applied to model-based forecasts obtained either with recursive or rolling window estimation schemes, as well as to forecasts that are model-free. The proposed tests provide more evidence against forecast rationality than previously found in the Federal Reserve's Greenbook forecasts as well as survey-based private forecasts. It confirms, however, that the Federal Reserve has additional information about current and future states of the economy relative to market participants. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Forecasting Forecast rationality monetary policy Greenbook Survey Real-time data |
| URL | https://cepr.org/publications/dp11391 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540205 |
| 推荐引用方式 GB/T 7714 | Barbara Rossi,Tatevik Sekhposyan. DP11391 Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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