Evaluating the Conditionality of Judgmental Forecasts

22 Pages Posted: 4 Feb 2019 Last revised: 21 Feb 2019

See all articles by Travis J. Berge

Travis J. Berge

Board of Governors of the Federal Reserve System

Andrew C. Chang

Board of Governors of the Federal Reserve System

Nitish Ranjan Sinha

Board of Governors of the Federal Reserve System

Date Written: 2019-02-01

Abstract

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

Berge, Travis J. and Chang, Andrew C. and Sinha, Nitish Ranjan, Evaluating the Conditionality of Judgmental Forecasts (2019-02-01). FEDS Working Paper No. 2019-002. Available at SSRN: https://ssrn.com/abstract=3327991 or http://dx.doi.org/10.17016/FEDS.2019.002

Travis J. Berge (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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

Andrew C. Chang

Board of Governors of the Federal Reserve System ( email )

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

Nitish Ranjan Sinha

Board of Governors of the Federal Reserve System ( email )

20th & C. St., N.W.
Washington, DC 20551
United States

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