Do GDP Forecasts Respond Efficiently to Changes in Interest Rates?

35 Pages Posted: 27 Jun 2016  

Dean Croushore

University of Richmond - E. Claiborne Robins School of Business

Katherine Marsten

Board of Governors of the Federal Reserve System

Date Written: 2016-06-22

Abstract

In this paper, we examine and extend the results of Ball and Croushore (2003) and Rudebusch and Williams (2009), who show that the output forecasts in the Survey of Professional Forecasters (SPF) are inefficient. Ball and Croushore show that the SPF out-put forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread. In this paper, we investigate the robustness of both claims of inefficiency, using real-time data and exploring the impact of alternative sample periods on the results.

Keywords: Real-Time Data, Output Forecasts, Yield Spread, Monetary Policy, Survey of Professional Forecasters (SPF)

Suggested Citation

Croushore, Dean and Marsten, Katherine, Do GDP Forecasts Respond Efficiently to Changes in Interest Rates? (2016-06-22). FRB of Philadelphia Working Paper No. 16-17. Available at SSRN: https://ssrn.com/abstract=2800507

Dean Croushore (Contact Author)

University of Richmond - E. Claiborne Robins School of Business ( email )

1 Gateway Road
University of Richmond, VA 23173
United States
804-287-1961 (Phone)

HOME PAGE: http://oncampus.richmond.edu/~dcrousho

Katherine Marsten

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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