美国失业率:美联储与私人信息

IF 1.9 Q2 ECONOMICS JOURNAL OF ECONOMIC STUDIES Pub Date : 2023-11-22 DOI:10.1108/jes-05-2023-0273
Hamid Baghestani, Bassam M. AbuAl-Foul
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引用次数: 0

摘要

本研究评估了美联储(Fed)对1983Q1-2018Q4失业率的初步和最终预测。美联储通常在一个季度的第一个月(或紧接其后)做出初步预测,最终预测在该季度的第三个月做出。该分析还包括私人预测,这些预测是在第二季度接近尾声时做出的。在评估多周期预测时,研究测试了系统偏差、方向精度、对称损失、等预测精度、包涵性和正交性。对于每一个检验方程,采用纽西法,得到异方差和固有序列相关校正后的标准误差。美联储和民间预测均优于naïve基准,并预测了对称损失下的方向性变化。美联储的最终预测比初始预测更准确,这意味着随着信息的增多,预测的准确性会提高。私人和美联储的最终预测包含不同的预测信息,但后者产生的均方误差要低得多。当研究将私人机构和美联储的初步预测进行比较时,结果喜忧参半。其他结果表明,美联储(私人)预测误差与消费者对未来失业预期的变化是(不是)正交的。因此,消费者的预期可能有助于提高私人预测的准确性。独创性/价值与许多其他研究不同,本研究侧重于失业率,因为它是商业周期社会成本的重要指标,因此其预测对政策制定者,政治家和社会科学家特别感兴趣。准确的失业率预测对于决策者制定最优宏观经济政策尤为重要。
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US unemployment rate: Federal Reserve versus private information

Purpose

This study evaluates the Federal Reserve (Fed) initial and final forecasts of the unemployment rate for 1983Q1-2018Q4. The Fed initial forecasts in a typical quarter are made in the first month (or immediately after), and the final forecasts are made in the third month of the quarter. The analysis also includes the private forecasts, which are made close to the end of the second month of the quarter.

Design/methodology/approach

In evaluating the multi-period forecasts, the study tests for systematic bias, directional accuracy, symmetric loss, equal forecast accuracy, encompassing and orthogonality. For every test equation, it employs the Newey–West procedure in order to obtain the standard errors corrected for both heteroscedasticity and inherent serial correlation.

Findings

Both Fed and private forecasts beat the naïve benchmark and predict directional change under symmetric loss. Fed final forecasts are more accurate than initial forecasts, meaning that predictive accuracy improves as more information becomes available. The private and Fed final forecasts contain distinct predictive information, but the latter produces significantly lower mean squared errors. The results are mixed when the study compares the private with the Fed initial forecasts. Additional results indicate that Fed (private) forecast errors are (are not) orthogonal to changes in consumer expectations about future unemployment. As such, consumer expectations can potentially help improve the accuracy of private forecasts.

Originality/value

Unlike many other studies, this study focuses on the unemployment rate, since it is an important indicator of the social cost of business cycles, and thus its forecasts are of special interest to policymakers, politicians and social scientists. Accurate unemployment rate forecasts, in particular, are essential for policymakers to design an optimal macroeconomic policy.

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来源期刊
CiteScore
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自引率
5.90%
发文量
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期刊介绍: The Journal of Economic Studies publishes high quality research findings and commentary on international developments in economics. The journal maintains a sound balance between economic theory and application at both the micro and the macro levels. Articles on economic issues between individual nations, emerging and evolving trading blocs are particularly welcomed. Contributors are encouraged to spell out the practical implications of their work for economists in government and industry
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