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Finance and Economics Discussion Series
Finance and Economics Discussion Series logo links to FEDS home page Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy
Peter Tulip

Abstract: Several researchers have recently documented a large reduction in output volatility. In contrast, this paper examines whether output has become more predictable. Using forecasts from the Federal Reserve Greenbooks, I find the evidence is somewhat mixed. Output seems to have become more predictable at short horizons, but not necessarily at longer horizons. The reduction in unpredictability is much less than the reduction in volatility. Associated with this, recent forecasts had little predictive power.

Keywords: Predictability, variability, forecast errors, Greenbook

Full paper (195 KB PDF)

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Last update: September 1, 2005