Ball and Croushore show that the SPF output forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread. In this paper, the authors investigate the robustness of both claims of inefficiency, using real-time data and exploring the impact of alternative sample periods on the results.
View the Full Working Paper
Working Paper
Do GDP Forecasts Respond Efficiently to Changes in Interest Rates?
June 2016
WP 16-17 - The authors examine and extend the results of Ball and Croushore (2003) and Rudebusch and Williams (2009), who show that the output forecasts in the Survey of Professional Forecasters (SPF) are inefficient.
Share
Download