We examine the forecasting performance of standard macro models of exchange rates in real time, using dozens of different vintages of the OECDs Main Economic Indicators database. We calculate out-of-sample forecasts as they would have been made at the time, and compare them to a random walk...

Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future trajectory of interest rates. We show how this information can be used to identify the effects of a monetary policy shock in a standard...

This chapter discusses recent developments in inflation forecasting. We perform a horse-race among a large set of traditional and recently developed forecasting methods, and discuss a number of principles that emerge from this exercise. We find that judgmental survey forecasts outperform...

Employing a large number of financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios -- constructed directly from the secondary market prices of outstanding bonds -- sorted by...