Has the forecasting performance of the Federal Reserve's Greenbooks changed over time?

Ozan Ekşi, Cüneyt Orman, Bedri Kamil Onur Taş*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


We investigate how the forecasting performance of the Federal Reserve Greenbooks has changed relative to commercial forecasters between 1974 and 2009. To this end, we analyze time-variation in the Greenbook coefficients in forecast encompassing regressions. Assuming that model coefficients change continuously, we estimate unobserved components models using Bayesian inference techniques. To verify that our results do not depend on the specific way change is modeled, we also allow the coefficients to change discretely rather than continuously and test for structural breaks using classical inference techniques. We find that the Greenbook forecasts have been consistently superior to the commercial forecasts at all horizons throughout our sample period. Although the forecasting performance gap has narrowed at more distant horizons after the early-to-mid 1980s, it remains significant.

Original languageEnglish
Article number20160130
JournalB.E. Journal of Macroeconomics
Issue number2
Publication statusPublished - Jun 2017


  • Evaluating forecasts
  • Greenbook inflation forecasts
  • SPF inflation forecasts
  • Time-variation in coefficients

ASJC Scopus subject areas

  • Economics and Econometrics


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