Evaluating the Conditionality of Judgmental Forecasts
22 Pages Posted: 4 Feb 2019 Last revised: 21 Feb 2019
Date Written: 2019-02-01
We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithfully incorporated into the remainder of the forecast. We consider whether the Greenbook, Blue Chip, and the Survey of Professional Forecasters exhibit systematic biases in the manner in which they incorporate interest rate projections into the forecasts of other macroeconomic variables. We do not find strong evidence of systematic biases in the three economic forecasts that we consider, as the interest rate projections in these forecasts appear to be efficiently incorporated into forecasts of other economic variables.
Keywords: Conditional forecast, Forecast efficiency, Macroeconomic forecasting
JEL Classification: C53, C22, E17
Suggested Citation: Suggested Citation