The Unassuming Economist

“Virtual live-stream only! Thursday, December 2nd, 2021, 12:30 pm – 2 pm ET: Neil R. Ericsson (Federal Reserve Board) will present “Evaluating the Federal Reserve’s Tealbook Forecasts”Co-authors: Maia Crook, Emilio J. Fiallos, J E. Seymour, Charlotte Singer, Ben Smith, François de Soyres.
Abstract: This paper examines publicly available Federal Reserve Board Tealbook forecasts of GDP growth for the United States and several foreign countries, focusing on potential time-varying biases and evaluating the Tealbook forecasts relative to other forecasts. Tealbook forecasts perform relatively well at short horizons, but with significant heterogeneity across countries. Also, while standard Mincer-Zarnowitz tests typically fail to detect biases in the Tealbook forecasts, recently developed indicator saturation techniques that employ machine learning are able to detect economically sizable and highly significant time-varying biases. Estimated biases differ not only over time, but by country and across the forecast horizon. These biases point to directions for forecast improvement. Chong and Hendry’s (1986) forecast-encompassing tests of the Tealbook forecasts relative to JP Morgan’s forecasts reveal distinct value added by each institution’s forecasts. For most countries and forecast horizons examined, each institution’s forecast can be improved by utilizing information from the other institution’s forecast.”

For more details read here.