RDP 2017-01: Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors: The Federal Reserve's Approach References

Bauer MD and GD Rudebusch (2016), ‘Monetary Policy Expectations at the Zero Lower Bound’, Journal of Money, Credit, and Banking, 48(7), pp 1439–1465.

Brayton F, T Laubach and D Reifschneider (2014), ‘The FRB/US Model: A Tool for Macroeconometric Analysis’, Board of Governors of the Federal Reserve System, FEDS Notes, April. Available at <www.federalreserve.gov/econresdata/notes/feds-notes/2014/a-tool-for-macroeconomic-policy-analysis.html>.

Campbell SD (2007), ‘Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation: Evidence from the Survey of Professional Forecasters’, Journal of Business and Economic Statistics, 25(April), pp 191–200.

Carriero A, TE Clark and M Marcellino (2016), ‘Common Drifting Volatility in Large Bayesian VARs’, Journal of Business and Economic Statistics, 34, pp 375–390.

Clark TE (2011), ‘Real-Time Density Forecasts from BVARs with Stochastic Volatility’, Journal of Business and Economic Statistics, 29, pp 327–341.

Croushore D (2010), ‘Evaluation of Inflation Forecasts Using Real-Time Data’, B.E. Journal of Macroeconomics, 10(1), Article 10.

D'Agostino A, L Gambetti and D Giannone (2013), ‘Macroeconomic Forecasting and Structural Change’, Journal of Applied Econometrics, 28, pp 82–101.

Diebold FX and RS Mariano (1995), ‘Comparing Predictive Accuracy’, Journal of Business and Economic Statistics, 13(July), pp 253–263.

Diebold FX, F Schorfheide and M Shin (2016), ‘Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility’, Unpublished manuscript, University of Pennsylvania.

Engen EM, T Laubach and D Reifschneider (2015), ‘The Macroeconomic Effects of the Federal Reserve's Unconventional Monetary Policies’, Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series No 2015-005. Available at <www.federalreserve.gov/econresdata/feds/2015/files/2015005pap.pdf>.

Fair RC (1980), ‘Estimating the Expected Predictive Accuracy of Econometric Models’, International Economic Review, 21, pp 355–378.

Fair RC (2014), ‘How Might a Central Bank Report Uncertainty?’, Economics: The Open-Access, Open-Assessment E-Journal, 8(2014-27), pp 1–22.

Faust J and J Wright (2009), ‘Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset’, Journal of Business and Economic Statistics, 27(4), pp 468–479.

Federal Reserve Board (2014), ‘Updated Historical Forecast Errors (4/9/2014)’. Available at <www.federalreserve.gov/foia/files/20140409-historical-forecast-errors.pdf>.

Gavin WT and RJ Mandal (2001), ‘Forecasting Inflation and Growth: Do Private Forecasts Match Those of Policymakers?’, Business Economics, January, pp 13–20.

Haldane A (2012), ‘Tails of the Unexpected’, Paper Delivered at a Conference Sponsored by the University of Edinburgh Business School, Edinburgh, June 8. Available at <www.betterregulation.com/external/Speech%20by%20Mr%20Andrew%20Haldane%20-%20Tails%20of%20the%20unexpected.pdf>.

Holston K, T Laubach and JC Williams (2016), ‘Measuring the Natural Rate of Interest: International Trends and Determinants’, Federal Reserve Bank of San Francisco Working Paper No 2016-11.

Justiniano A and GE Primiceri (2008), ‘The Time-Varying Volatility of Macroeconomic Fluctuations’, The American Economic Review, 93, pp 604–641.

Kahneman D, P Slovic and A Tversky (eds) (1982), Judgment under Uncertainty: Heuristics and Biases, Cambridge University Press, Cambridge.

Knüppel M (2014), ‘Efficient Estimation of Forecast Uncertainty Based on Recent Forecast Errors’, International Journal of Forecasting, 30(2), pp 257–267.

Knüppel M and G Schultefrankenfeld (2012), ‘How Informative are Central Bank Assessments of Macroeconomic Risks?’, International Journal of Central Banking, 8(3), pp 87–139.

Knüppel M and AL Vladu (2016), ‘Approximating Fixed-Horizon Forecasts Using Fixed-Event Forecasts’, Deutsche Bundesbank Discussion Paper 20/2016.

Mester L (2016), ‘Acknowledging Uncertainty’, Speech Delivered at the Shadow Open Market Committee Fall Meeting, New York, October 7. Available at <www.clevelandfed.org/en/newsroom-and-events/speeches/sp-20161007-acknowledging-uncertainty.aspx>.

Mishkin FS (2007), ‘Inflation Dynamics’, Speech Delivered at the Annual Macro Conference, Federal Reserve Bank of San Francisco, San Francisco, March 23.

Powell J (2016), ‘A View from the Fed’, Speech Delivered at the ‘Understanding Fedspeak’ Event Cosponsored by the Hutchins Center on Fiscal and Monetary Policy at the Brookings Institution and the Center for Financial Economics at Johns Hopkins University, Washington DC, November 30. Available at <www.federalreserve.gov/newsevents/speech/powell20161130a.htm>.

Reifschneider D and P Tulip (2007), ‘Gauging the Uncertainty of the Economic Outlook from Historical Forecasting Errors’, Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series No 2007-60. Available at <www.federalreserve.gov/pubs/feds/2007/200760/200760pap.pdf>.

Romer CD and DH Romer (2000), ‘Federal Reserve Information and the Behavior of Interest Rates’, The American Economic Review, 90(June), pp 429–457.

Sims CA (2002), ‘The Role of Models and Probabilities in the Monetary Policy Process’, Brookings Papers on Economic Activity, 2002(2), pp 1–62.

Tay AS and KF Wallis (2000), ‘Density Forecasting: A Survey’, Journal of Forecasting, 19, pp 235–254.

Tulip P (2009), ‘Has the Economy Become More Predictable? Changes in Greenbook Forecast Accuracy’, Journal of Money, Credit and Banking, 41(6), pp 1217–1231.

Tulip P and S Wallace (2012), ‘Estimates of Uncertainty around the RBA's Forecasts’, RBA Research Discussion Paper No 2012-07.

Vogel L (2007), ‘How Do the OECD Growth Projections for the G7 Economies Perform? A Post-Mortem’, OECD Economics Department Working Paper No 573.

Wallis KF (1989), ‘Macroeconomic Forecasting: A Survey’, The Economic Journal, 99, pp 28–61.

Wikipedia (2016), ‘Overconfidence Effect’, accessed November 14 2016. Available at <http://en.wikipedia.org/wiki/Overconfidence_effect>.

Yellen J (2016), ‘Designing Resilient Monetary Policy Frameworks for the Future’, Presented at a Symposium Sponsored by the Federal Reserve Bank of Kansas City, Jackson Hole, August 26. Available at <www.federalreserve.gov/newsevents/speech/yellen20160826a.htm>.