کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
967166 931163 2008 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 55, Issue 8, November 2008, Pages 1415-1427
نویسندگان
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