Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences

58 Pages Posted: 11 Jul 2014

See all articles by Lucia Alessi

Lucia Alessi

European Central Bank (ECB)

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Luca Onorante

European Central Bank (ECB); European University Institute

Richard W. Peach

Federal Reserve Bank of New York

Simon Potter

Peter G. Peterson Institute for International Economics

Multiple version iconThere are 2 versions of this paper

Date Written: May 27, 2014

Abstract

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between staff at the two institutions, allowing us to study the time-stamped forecasts as they were made throughout the crisis. The analysis does not exclusively focuses on point forecast performance. It also examines methodological contributions, including how financial market data could have been incorporated into the forecasting process.

Keywords: forecast evaluation, mixed frequency data sampling

JEL Classification: C53, E37

Suggested Citation

Alessi, Lucia and Ghysels, Eric and Onorante, Luca and Peach, Richard W. and Potter, Simon, Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences (May 27, 2014). ECB Working Paper No. 1688, Available at SSRN: https://ssrn.com/abstract=2442275

Lucia Alessi (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Eric Ghysels

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://www.unc.edu/~eghysels/

Luca Onorante

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

European University Institute

Villa Schifanoia
133 via Bocaccio
Firenze (Florence), Tuscany 50014
Italy

Richard W. Peach

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Simon Potter

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

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