Search Results
Working Paper
Self-fulfilling expectations and the inflation of the 1970s: evidence from the Livingston Survey
Using survey data on expectations, the authors examine whether the post-war data are consistent with theories of a self-fulfilling inflation episode during the 1970s. Among commonly cited factors, oil and fiscal shocks do not appear to have triggered an increase in expected inflation that was subsequently validated by monetary policy. However, the evidence suggests that, prior to 1979, the Fed accommodated temporary shocks to expected inflation, which then led to permanent increases in actual inflation. The authors do not find this behavior in the post-1979 data.
Journal Article
Evaluating McCallum's rule for monetary policy
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
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 ...
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 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 ...
Working Paper
Forecasting with a real-time data set for macroeconomists
This paper discusses how forecasts are affected by the use of real-time data rather than latest-available data. The key issue is this: In the literature on developing forecasting models, new models are put together based on the results they yield using the data set available to the model?s developer. But those are not the data that were available to a forecaster in real time. How much difference does the vintage of the data make for such forecasts? The authors explore this issue with a variety of exercises designed to answer this question. In particular, they find that the use of real-time ...
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
A real-time data set for macroeconomists: does data vintage matter for forecasting?
This paper describes a real-time data set for macroeconomists that can be used for a variety of purposes, including forecast evaluation. The data set consists of quarterly vintages, or snapshots, of the major macroeconomic data available at quarterly intervals in real time. The paper explains the construction of the data set, examines the properties of several of the variables in the data set across vintages, and provides an example showing how data revisions can affect forecasts.