Central bank forecasting: A survey

Binder, Carola; Sekkel, Rodrigo

doi:10.1111/joes.12554

Cited by 7 publications

(3 citation statements)

References 146 publications

(220 reference statements)

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“…The forecasting process at these three central banks shares several attributes (Binder & Sekkel, 2023, pp. 2–3).…”

Section: The Formulation Of Central Bank Forecastsmentioning

confidence: 99%

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An evaluation of the inflation forecasting performance of the European Central Bank, the Federal Reserve, and the Bank of England

Argiri,

Hall,

Momtsia

et al. 2024

Journal of Forecasting

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We provide an overview of the formulation of the forecasts of the European Central Bank, the Federal Reserve, and the Bank of England. We also provide statistical assessments of the performance of the forecasting process of those central banks. We find that the inflation forecasts have, by‐and‐large, been unbiased and efficient at the very short‐term forecast horizon. The performance deteriorates over longer horizons. This latter finding could be attributable, inter alia, to the approach applied in the integration in the forecasting process of the assumptions on the future market‐implied interest rate path.

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“…The forecasting process at these three central banks shares several attributes (Binder & Sekkel, 2023, pp. 2–3).…”

Section: The Formulation Of Central Bank Forecastsmentioning

confidence: 99%

“…2 2 Binder and Sekkel (2023) survey the forecasting frameworks of four major central banks (the Fed, the ECB, the BoE, and the Bank of Canada) and those banks' forecasting performances. An earlier survey of forecasting at the Federal Reserve Bank of New York and the ECB was provided by Alessi et al (2014).…”

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confidence: 99%

An evaluation of the inflation forecasting performance of the European Central Bank, the Federal Reserve, and the Bank of England

Argiri,

Hall,

Momtsia

et al. 2024

Journal of Forecasting

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“…Baghestani (2008, p. 101) evaluates the accuracy of unemployment rate forecasts and finds that “the private forecasts encompass those of the Federal Reserve and are thus more informative.” Further research reports mixed evidence regarding the asymmetric information hypothesis when considering the forecasts of other economic indicators such as consumption, investment and real net exports. Binder and Sekkel (2023) provide a comprehensive survey of forecasting at the Federal Reserve Bank, European Central Bank, Bank of England and Bank of Canada. Their survey includes evidence of central banks' informational advantage over private sector forecasters.…”

Section: Literature Reviewmentioning

confidence: 99%

US unemployment rate: Federal Reserve versus private information

Baghestani,

AbuAl-Foul

2023

JES

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PurposeThis study evaluates the Federal Reserve (Fed) initial and final forecasts of the unemployment rate for 1983Q1-2018Q4. The Fed initial forecasts in a typical quarter are made in the first month (or immediately after), and the final forecasts are made in the third month of the quarter. The analysis also includes the private forecasts, which are made close to the end of the second month of the quarter.Design/methodology/approachIn evaluating the multi-period forecasts, the study tests for systematic bias, directional accuracy, symmetric loss, equal forecast accuracy, encompassing and orthogonality. For every test equation, it employs the Newey–West procedure in order to obtain the standard errors corrected for both heteroscedasticity and inherent serial correlation.FindingsBoth Fed and private forecasts beat the naïve benchmark and predict directional change under symmetric loss. Fed final forecasts are more accurate than initial forecasts, meaning that predictive accuracy improves as more information becomes available. The private and Fed final forecasts contain distinct predictive information, but the latter produces significantly lower mean squared errors. The results are mixed when the study compares the private with the Fed initial forecasts. Additional results indicate that Fed (private) forecast errors are (are not) orthogonal to changes in consumer expectations about future unemployment. As such, consumer expectations can potentially help improve the accuracy of private forecasts.Originality/valueUnlike many other studies, this study focuses on the unemployment rate, since it is an important indicator of the social cost of business cycles, and thus its forecasts are of special interest to policymakers, politicians and social scientists. Accurate unemployment rate forecasts, in particular, are essential for policymakers to design an optimal macroeconomic policy.

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Forecasting in turbulent times

Giannellis,

Hall,

Kouretas

et al. 2024

Journal of Forecasting

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Since the beginning of this century, the global economy has been hit by a series of unforeseen shocks, including the Global Financial Crisis, the euro area's sovereign debt crisis, and most recently, the global inflation surge. To motivate this special issue, we provide a brief overview of recent methods that have been proposed to improve the ability of forecast models to predict shocks and to capture their effects once they have occurred. We also propose a method that may allow central banks to respond more quickly to the kind of inflationary surge that occurred from 2020 to 2022 so that those banks would not have misdiagnosed the surge as a temporary phenomenon.

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Central bank forecasting: A survey

Cited by 7 publications

References 146 publications

An evaluation of the inflation forecasting performance of the European Central Bank, the Federal Reserve, and the Bank of England

An evaluation of the inflation forecasting performance of the European Central Bank, the Federal Reserve, and the Bank of England

US unemployment rate: Federal Reserve versus private information

Forecasting in turbulent times

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