(Un)Predictability and macroeconomic stability

Paolo Surico, Domenico Giannone and Antonello D'Agostino

No 605, Working Paper Series from European Central Bank

Abstract: This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Greenbook and the Survey of Professional Forecasters, we show that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s. This break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the 'Great Moderation'. JEL Classification: E37, E47, C22, C53

Keywords: Fed Greenbook.; forecasting models; macroeconomic stability; predictive accuracy; sub-sample analysis (search for similar items in EconPapers)
Date: 2006-04
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Citations: View citations in EconPapers (63)

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Related works:
Working Paper: (Un)Predictability and Macroeconomic Stability (2007)
Working Paper: (Un)Predictability and Macroeconomic Stability (2006)
Working Paper: (Un)Predictability and Macroeconomic Stability (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2006605

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