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Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences |
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| Authors: | Lucia Alessi Eric Ghysels Luca Onorante Richard Peach Simon Potter |
| Institution: | 1. European Central Bank, 60311 Frankfurt am Main, Germany (lucia.alessi@ecb.europa.eu);2. Department of Finance, Kenan–Flagler Business School, and Department of EconomicsUniversity of North Carolina at Chapel Hill, Chapel Hill, NC 27599 (eghysels@unc.edu);3. Joint Modeling Project, Central Bank of Ireland, Dublin, Ireland;4. formerly, European Central Bank, 60311 Frankfurt am Main, Germany (Luca.Onorante@centralbank.ie);5. Macroeconomic and Monetary Studies Function, Federal Reserve Bank of New York, New York, NY 10045 (richard.peach@ny.frb.org);6. Markets Group, Federal Reserve Bank of New York, New York, NY 10045 (simon.potter@ny.frb.org) |
| Abstract: | This article documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The article is the result of a collaborative effort between staff at the two institutions, allowing us to study the time-stamped forecasts as they were made throughout the crisis. The analysis does not exclusively focus on point forecast performance. It also examines methodological contributions, including how financial market data could have been incorporated into the forecasting process. |
| Keywords: | Central bank macroeconomic forecasting Forecast evaluation MIDAS regressions |