Title of article
Bias inFederalReserveinflationforecasts:IstheFederalReserve irrationalorjustcautious
Author/Authors
CarlosCapistra´n، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
13
From page
1415
To page
1427
Abstract
Inflation forecastsoftheFederalReserveseemtohavesystematicallyunder-predicted
inflationfromthefourthquarterof1968untilVolcker’sappointmentasChairman,and
to systematicallyover-predictitafterwardsuntilthesecondquarterof1998.
Furthermore, underquadraticloss,commercialforecastsseemtohaveinformation
not containedinthoseforecasts.Toinvestigatethecauseofthisapparentirrationality,
this paperrecoversthelossfunctionimpliedbyFederalReserve’sinflationforecasts.The
results suggestthatthecostofhavinginflationaboveanimplicittime-varyingtarget
waslargerthanthecostofhavinginflationbelowitfortheperiodsinceVolcker,and
that theoppositewastrueforthepre-Volckerera.Oncetheseasymmetriesaretaken
into account,theFederalReserve’sinflationforecastsarefoundtoberational
Keywords
ForecastevaluationMonetary policyReal-timedataSurveyofprofessionalforecasters
Journal title
Journal of Monetary Economics
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846259
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