Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?

被引:57
作者
Capistran, Carlos [1 ]
机构
[1] Banco Mexico, Direcc Gen Invest Econ, Mexico City 06059, DF, Mexico
关键词
Forecast evaluation; Monetary policy; Real-time data; Survey of professional forecasters;
D O I
10.1016/j.jmoneco.2008.09.011
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Inflation forecasts of the Federal Reserve seem to have systematically under-predicted inflation from the fourth quarter of 1968 until Volcker's appointment as Chairman, and to systematically over-predict it afterwards until the second quarter of 1998. Furthermore, under quadratic loss, commercial forecasts seem to have information not contained in those forecasts. To investigate the Cause of this apparent irrationality, this paper recovers the loss function implied by Federal Reserve's inflation forecasts. The results suggest that the cost of having inflation above an implicit time-varying target was larger than the cost of having inflation below it for the period since Volcker, and that the opposite was true for the pre-Volcker era. Once these asymmetries are taken into account, the Federal Reserve's inflation forecasts are found to be rational. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码:1415 / 1427
页数:13
相关论文
共 35 条
[2]   Estimating and testing linear models with multiple structural changes [J].
Bai, JS ;
Perron, P .
ECONOMETRICA, 1998, 66 (01) :47-78
[3]  
CAPISTRAN C, 2005, 200505 UCSD
[4]  
CAPISTRAN C, 2008, J MONEY CRE IN PRESS
[5]   Optimal prediction under asymmetric loss [J].
Christoffersen, PF ;
Diebold, FX .
ECONOMETRIC THEORY, 1997, 13 (06) :808-817
[6]   Monetary policy rules and macroeconomic stability:: Evidence and some theory [J].
Clarida, R ;
Galí, J ;
Gertler, M .
QUARTERLY JOURNAL OF ECONOMICS, 2000, 115 (01) :147-180
[7]   The inflation bias revisited: Theory and some international evidence [J].
Cukierman, A ;
Gerlach, S .
MANCHESTER SCHOOL, 2003, 71 (05) :541-565
[8]   Why are professional forecasters biased? Agency versus behavioral explanations [J].
Ehrbeck, T ;
Waldmann, R .
QUARTERLY JOURNAL OF ECONOMICS, 1996, 111 (01) :21-40
[9]   Estimation and testing of forecast rationality under flexible loss [J].
Elliott, G ;
Komunjer, I ;
Timmermann, A .
REVIEW OF ECONOMIC STUDIES, 2005, 72 (04) :1107-1125
[10]   Biases in macroeconomic forecasts: Irrationality or asymmetric loss? [J].
Elliott, Graham ;
Timmermann, Allan ;
Komunjer, Ivana .
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION, 2008, 6 (01) :122-157