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Working Paper
Do Phillips curves conditionally help to forecast inflation?
The Phillips curve has long been used as a foundation for forecasting inflation. Yet numerous studies indicate that over the past 20 years or so, inflation forecasts based on the Phillips curve generally do not predict inflation any better than a univariate forecasting model. In this paper, the authors take a deeper look at the forecasting ability of Phillips curves from both an unconditional and a conditional view. Namely, they use the test results developed by Giacomini and White (2006) to examine the forecasting ability of Phillips curve models. The authors' main results indicate that ...
Working Paper
Mismeasured personal saving and the permanent income hypothesis
Is it possible to forecast using poorly measured data? According to the permanent income hypothesis, a low personal saving rate should predict rising future income (Campbell, 1987). However, the U.S. personal saving rate is initially poorly measured and has been repeatedly revised upward in benchmark revisions. The authors use both conventional and real-time estimates of the personal saving rate in vector autoregressions to forecast real disposable income; using the level of the personal saving rate in real time would have almost invariably made forecasts worse, but first differences of the ...
Working Paper
Does current-quarter information improve quarterly forecasts for the U.S. economy?
This paper presents new evidence on the benefits of conditioning quarterly model forecasts on monthly current-quarter data. On the basis of a quarterly Bayesian vector error corrections model, the findings indicate that such conditioning produces economically relevant and statistically significant improvement. The improvement, which begins as early as the end of the first week of the second month of the quarter, is largest in the current quarter, but in some cases, extends beyond the current quarter. Forecast improvement is particularly large during periods of recessions but generally extends ...
Working Paper
Macroeconomic forecasts and microeconomic forecasters in the Survey of Professional Forecasters
Do professional forecasters distort their reported forecasts in a way that compromises accuracy? New research in the theory of forecasting suggests such a possibility. In a recent paper, Owen Lamont finds that forecasters in the Business Week survey make more radical forecasts as they gain experience. In this paper, the authors uses forecasts from the Federal Reserve Bank of Philadelphia's Survey of Professional Forecasters to test the robustness of Lamont's results. The author's results contradict Lamont's. However, careful examination of a methodological difference in the two surveys ...
Working Paper
Understanding house price index revisions
Residential house price indexes (HPI) are used for a large variety of macroeconomic and microeconomic research and policy purposes, as well as for automated valuation models. As is well known, these indexes are subject to substantial revisions in the months following the initial release, both because transaction data can be slow to come in, and as a consequence of the repeat sales methodology, which interpolates the effect of sales over the entire period since the house last changed hands. We study the properties of the revisions to the CoreLogic House Price Index. This index is used both by ...
Working Paper
Benchmark revisions and the U.S. personal saving rate.
Initially published estimates of the personal saving rate from 1965 Q3 to 1999 Q2, which averaged 5.3 percent, have been revised up 2.8 percentage points to 8.1 percent, as we document. We show that much of the initial variation in the personal saving rate across time was meaningless noise. Nominal disposable personal income has been revised upward an average of 8.4 percent: one dollar in 12 was originally missing! We use both conventional and real-time estimates of the personal saving rate to forecast real disposable income, gross domestic product, and personal consumption and show that the ...
Working Paper
A real-time data set for macroeconomists
This paper presents the concept and uses of a real-time data set that can be used by economists for testing the robustness of published econometric results, for analyzing policy, and for forecasting. The data set consists of vintages, or snapshots, of the major macroeconomic data available at quarterly intervals in real time. The paper illustrates why such data may matter, explains the construction of the data set, examines the properties of several of the variables in the data set across vintages, examines key empirical papers in macroeconomics and investigates their robustness to different ...
Journal Article
Fifty Years of the Survey of Professional Forecasters
Over the past half-century, the Survey of Professional Forecasters has asked?and helped answer?some of the most important questions about our economy.
Working Paper
A Bayesian vector error corrections model of the U.S. economy
This paper presents a small-scale macroeconometric time-series model that can be used to generate short-term forecasts for U.S. output, inflation, and the rate of unemployment. Drawing on both the Bayesian VAR and vector error corrections (VEC) literature, the author specifies the baseline model as a Bayesian VEC. The author documents the model's forecasting ability over various periods, examines its impulse responses, and considers several reasonable alternative specifications. Based on a root-mean-square-error criterion, the baseline model works best, and the author concludes that this ...