Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153039 
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper No. 605
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve’s Greenbook and the Survey of Professional Forecasters, we show that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s. This break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the ‘Great Moderation’.
Subjects: 
Fed Greenbook
forecasting models
macroeconomic stability
predictive accuracy
sub-sample analysis
JEL: 
E37
E47
C22
C53
Document Type: 
Working Paper

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