Do Fed Forecast Errors Matter?

Tara Sinclair, Pao-Lin Tien and Edward Gamber ()
Additional contact information
Edward Gamber: Congressional Budget Office

Working Papers from The George Washington University, Institute for International Economic Policy

Abstract: This paper constructs a measure of a forecast error shock for the Fed based on the assumption that it follows a forward-looking Taylor rule. The shock can be viewed as analogous to a monetary policy shock. However, it differs from a monetary policy shock in that it is completely unintended by the Fed rather than simply unanticipated by the public. We investigate the effect of the forecast error shock on output and price movements. Our results suggest that although the absolute magnitude of the forecast error shock is large, the impact of the shock on the macroeconomy is quite small.

Keywords: Federal Reserve; Taylor rule; forecast evaluation; monetary policy shocks (search for similar items in EconPapers)
JEL-codes: E31 E32 E52 E58 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2016, Revised 2018-08
New Economics Papers: this item is included in nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.gwu.edu/~iiep/assets/docs/papers/2016WP/SinclairIIEPWP2016-14.pdf (application/pdf)

Related works:
Journal Article: Do Fed Forecast Errors Matter? (2021)
Working Paper: Do Fed forecast errors matter? (2016)
Working Paper: Do Fed Forecast Errors Matter? (2016)
Working Paper: Do Fed Forecast Errors Matter? (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gwi:wpaper:2016-14

Access Statistics for this paper

More papers in Working Papers from The George Washington University, Institute for International Economic Policy Contact information at EDIRC.
Bibliographic data for series maintained by Kyle Renner ().