Raiders of the lost high‐frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting
利用美联储工作人员每周发布的GDP和核心PCE通胀预测新数据集，研究其预测效率，发现GDP预测存在时变低效，通胀预测也有低效迹象。
Summary We introduce a new dataset of real gross domestic product (GDP) growth and core personal consumption expenditures (PCE) inflation forecasts produced by the staff of the Board of Governors of the Federal Reserve System. In contrast to the eight Greenbook forecasts a year the staff produce for Federal Open Market Committee (FOMC) meetings, our dataset has roughly weekly forecasts. We use these data to study whether the staff forecasts efficiently. Prespecified regressions of forecast errors on forecast revisions show the staff's GDP forecasts exhibit time‐varying inefficiency between FOMC meetings, and also show some evidence for inefficient inflation forecasts.