Revisiting the Greenbook's relative forecasting performance

Since Romer and Romer (2000), a large literature has dealt with the relative forecasting performance of Greenbook macroeconomic forecasts of the Federal Reserve. This paper empirically reviews the existing results by comparing the different methods, data and samples used previously. The sample period is extended compared to previous studies and both real-time and final data are considered. We confirm that the Fed has a superior forecasting performance on inflation but not on output. In addition, we show that the longer the horizon, the more pronounced the advantage of Fed on inflation and that this superiority seems to decrease but remains prominent in the more recent period. The second objective of this paper is to underline the potential sources of this superiority. It appears that it may stem from better information rather than from a better model of the economy.