Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy

29 Pages Posted: 5 Oct 2005

Date Written: 2005

Abstract

Several researchers have recently documented a large reduction in output volatility. In contrast, this paper examines whether output has become more predictable. Using forecasts from the Federal Reserve Greenbooks, I find the evidence is somewhat mixed. Output seems to have become more predictable at short horizons, but not necessarily at longer horizons. The reduction in unpredictability is much less than the reduction in volatility. Associated with this, recent forecasts had little predictive power.

Keywords: Predictability, variability, forecast errors, Greenbook

JEL Classification: E37

Suggested Citation

Tulip, Peter, Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy (2005). FEDS Working Paper No. 2005-31. Available at SSRN: https://ssrn.com/abstract=813248 or http://dx.doi.org/10.2139/ssrn.813248

Peter Tulip (Contact Author)

Reserve Bank of Australia ( email )

GPO Box 3947
Sydney, NSW 2001
Australia
61-2-9551-8831 (Phone)

HOME PAGE: http://www.petertulip.com

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