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Forecasting FOMC Forecasts

Forecasting US Inflation in Real Time

Board of Governors of the Federal Reserve System, 20th and Constitution Ave NW, Washington, DC 20551, USA
Author to whom correspondence should be addressed.
Academic Editor: Neil Ericsson
Econometrics 2021, 9(4), 36;
Received: 4 July 2019 / Revised: 15 September 2021 / Accepted: 16 September 2021 / Published: 9 October 2021
(This article belongs to the Special Issue Celebrated Econometricians: David Hendry)
We analyze real-time forecasts of US inflation over 1999Q3–2019Q4 and subsamples, investigating whether and how forecast accuracy and robustness can be improved with additional information such as expert judgment, additional macroeconomic variables, and forecast combination. The forecasts include those from the Federal Reserve Board’s Tealbook, the Survey of Professional Forecasters, dynamic models, and combinations thereof. While simple models remain hard to beat, additional information does improve forecasts, especially after 2009. Notably, forecast combination improves forecast accuracy over simpler models and robustifies against bad forecasts; aggregating forecasts of inflation’s components can improve performance compared to forecasting the aggregate directly; and judgmental forecasts, which may incorporate larger and more timely datasets in conjunction with model-based forecasts, improve forecasts at short horizons. View Full-Text
Keywords: inflation; Phillips curve; survey forecasts; Tealbook forecasts; forecast combination inflation; Phillips curve; survey forecasts; Tealbook forecasts; forecast combination
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MDPI and ACS Style

Fulton, C.; Hubrich, K. Forecasting US Inflation in Real Time. Econometrics 2021, 9, 36.

AMA Style

Fulton C, Hubrich K. Forecasting US Inflation in Real Time. Econometrics. 2021; 9(4):36.

Chicago/Turabian Style

Fulton, Chad, and Kirstin Hubrich. 2021. "Forecasting US Inflation in Real Time" Econometrics 9, no. 4: 36.

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