Working Paper

Evaluating the Conditionality of Judgmental Forecasts


Abstract: We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithfully incorporated into the remainder of the forecast. We consider whether the Greenbook, Blue Chip, and the Survey of Professional Forecasters exhibit systematic biases in the manner in which they incorporate interest rate projections into the forecasts of other macroeconomic variables. We do not find strong evidence of systematic biases in the three economic forecasts that we consider, as the interest rate projections in these forecasts appear to be efficiently incorporated into forecasts of other economic variables.

Keywords: Conditional forecast; Forecast efficiency; Macroeconomic forecasting;

JEL Classification: C53; C22; E17;

https://doi.org/10.17016/FEDS.2019.002

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: Finance and Economics Discussion Series

Publication Date: 2019-02-01

Number: 2019-002

Pages: 20 pages