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عنوان فارسی مقاله:
مقایسه ذخایر فدرال، بلو چیپ و پیش بینی های سری زمانی رشد تولید آمریکا
عنوان انگلیسی مقاله:
Comparing Federal Reserve, Blue Chip, and time series forecasts of US output growth
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
2. Data and forecasts
Our study includes four sets of output growth forecasts. The first one is the Greenbook forecasts produced by the research staff at the Federal Reserve Board of Governors and is available on the Federal Reserve Bank of Philadelphia website. These forecasts in addition to the forecasts of other major macroeconomic variables are presented to the Federal Open Market Committee (FOMC) prior to each regular meeting. With the FOMC meetings occurring twice each quarter, there exist two sets of Federal Reserve forecasts. The first set is made close to the middle of the quarter and the second one is made in the last month of the quarter. In this study, we utilize the Federal Reserve forecasts made in the last month of the quarter. In addition, the Greenbook forecasts are released to the public with a five-year lag and are currently available up to the fourth quarter of 2010. In examining the one- through four-quarter-ahead forecasts, we focus on the first quarter of 1988 through the fourth quarter of 2010. As such, the sample periods for the one-, two-, three-, and four-quarter-ahead forecasts are, respectively, 1988.2–2011.1, 1988.3–2011.2, 1988.4–2011.3, and 1989.1–2011.4. The second set of forecasts is from the Blue Chip monthly survey of private forecasters. Utilizing the individual responses, Blue Chip calculates and publishes the consensus (mean)forecasts in Blue Chip Financial Forecasts around the beginning ofthe month.3 Given that the survey is conducted monthly, there exist three sets of forecasts for each quarter. For comparability with the Federal Reserve, we utilize the one-, two-, three-, and four-quarter-ahead Blue Chip forecasts of output growth made in the third month of the quarter. The third set of forecasts is from a univariate AR model. In order for this benchmark to be comparable to the Federal Reserve and Blue Chip forecasts, we make use of real time data on real output available on the Federal Reserve Bank of Philadelphia website. More specifically, we utilize the data for 1967.1–1987.4 (available in the third month of 1987.4) to estimate the sample autocorrelation and partial autocorrelation function of output growth. These estimates along with the Akaike information criterion (AIC) help us select an AR(2) model with the results reported in Panel A of Table 1. As can be seen, the calculated Ljung–Box Q-statistic has a p-value well above 0.10, indicating that the residual series is white noise, and thus the model is correctly specified. We employ this model to generate the univariate AR forecasts of output growth as follows. Utilizing the 1967.1–1987.4 parameter estimates in Table 1, we generate the AR forecasts for 1988.1–1989.1. The forecast values for 1988.2, 1988.3, 1988.4, and 1989.1 correspond, respectively, to the one-, two-, three-, and four-quarter-ahead Federal Reserve and Blue Chip forecasts made in the third month of 1988.1. We utilize output growth data available in the third month of 1988.1 to re-estimate the AR model for 1967.1–1988.1. The updated parameter estimates are then used to generate the AR forecasts for 1988.2–1989.2. The forecasts for 1988.3, 1988.4, 1989.1, and 1989.2 correspond, respectively, to the one-, two-, three-, and four-quarter-ahead Federal Reserve and Blue Chip forecasts made in the third month of 1988.2. This procedure is repeated until the last set of forecasts is generated for 2010.4–2011.4 using the 1967.1–2010.3 parameter estimates (note that these parameter estimates are obtained using output growth data available in the last month of 2010.3). The forecasts for 2011.1, 2011.2, 2011.3, and 2011.4 correspond, respectively, to the one-, two-, three-, and four-quarterahead Federal Reserve and Blue Chip forecasts made in the third month of 2010.4. As such, the sample periods for the one-, two-, three-, and four-quarter-ahead forecast are, respectively, 1988.2–2011.1, 1988.3–2011.2, 1988.4–2011.3, and 1989.1–2011.4.
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کلمات کلیدی:
The Fed - Perspectives on Monetary Policy https://www.federalreserve.gov/newsevents/speech/yellen20120606a.htm Jun 6, 2012 - For comparison, the dashed red line presents a hypothetical distribution .... As the dashed blue line indicates, the Blue Chip consensus forecast made in ... of one of the Federal Reserve's economic models, the FRB/US model, ... The Federal Reserve's Balance Sheet and Earnings - Board of ... https://www.federalreserve.gov/pubs/feds/2013/201301/revision/201301pap.pdf by S Carpenter - 2013 - Cited by 57 - Related articles Compared to the baseline, the higher interest rate path ... we append the longer-term projections from the March 2013 Blue Chip forecast. 7 Refer to Carpenter ... FRB: FEDS Notes: Which Market Indicators Best Forecast Recessions? https://www.federalreserve.gov/.../feds.../which-market-indicators-best-forecast-recessi... Aug 2, 2016 - For comparison, the blue dashed line shows the unconditional .... Blue Chip Financial Forecasts, should be cited as follows: Wolters Klewer. Fed model - Wikipedia https://en.wikipedia.org/wiki/Fed_model The "Fed model" is a theory of equity valuation that has found broad application in the ... A variant of this, first the expected AAA bond yield from the Blue Chip survey ... investing community that the basic comparison underlying the Fed model is ..... [The research paper by three Federal Reserve economists that gave rise to ... Budget and Economic Outlook: an Update: August 2009 https://books.google.com/books?isbn=1437921795 2010 Comparison of Economic Projections by CBO and the Blue Chip for Calendar Years 2009 ... (The Federal Reserve does not reveal its forecasts of interest rates.) ... Searches related to Comparing Federal Reserve, Blue Chip, fed model formula yardeni fed model fed model bloomberg fed model cfa fed model chart david reifschneider federal reserve fed model 2017 fed model calculator
