Please use this identifier to cite or link to this item:
Fischer, Henning
García-Bárzana, Marta
Tillmann, Peter
Winker, Peter
Year of Publication: 
Series/Report no.: 
Joint Discussion Paper Series in Economics 13-2012
The Federal Open Market Committee (FOMC) of the U.S. Federal Reserve publishes the range of members' forecasts for key macroeconomic variables, but not the distribution of forecasts within this range. To evaluate these projections, previous papers compare the midpoint of the ranges with the realized outcome. This paper proposes a new approach to forecast evaluation that takes account of the interval nature of projections. It is shown that using the conventional Mincer-Zarnowitz approach to evaluate FOMC forecasts misses important information contained in the width of the forecast interval. This additional information plays a minor role at short forecast horizons but turns out to be of crucial importance for inflation and unemployment forecasts 18 months into the future. At long horizons the variation of members' projections contains information which is more relevant for explaining future inflation than information embodied in the midpoint.
Forecast evaluation
interval data
Federal Reserve
monetary policy
Document Type: 
Working Paper

Files in This Item:
434.41 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.