Geography or Skills: What Explains Fed Watchers' Forecast Accuracy of US Monetary Policy?
Geography or Skills: What Explains Fed Watchers' Forecast Accuracy of US Monetary Policy?
复制标题
地理或技能：如何解释美联储观察人士对美国货币政策的预测准确性？
DOI：
10.2139/ssrn.961577
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
Marcel Fratzscher
中科院分区：
文献类型：
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作者：
Helge Berger;Michael Ehrmann;Marcel Fratzscher
这篇论文表明，美联储观察者预测美国货币政策决策的能力存在很大程度的异质性。根据1999年以来268位专业预测者的新数据库，FOMC决策的平均预测误差在样本中表现最好和最差的人之间相差5到10个基点。这种异质性被发现与分析师的技能（如他们的教育和就业背景）和地理位置有关。特别是，位于经历更多特殊经济条件的地区的预测者在预测货币政策方面表现更差。这一证据表明，有限的注意力和异质性的先验存在，即使是预测重要事件，如货币政策决策。此外，本文还表明，这种异质性在经济上是重要的，因为它会导致联邦公开市场委员会会议后更大的金融市场波动。最后，政策制定者在影响这种异质性方面并不是无能为力的，因为美联储的沟通被发现会显著影响预测的准确性。
The paper shows that there is a substantial degree of heterogeneity in the ability of Fed watchers to forecast US monetary policy decisions. Based on a novel database for 268 professional forecasters since 1999, the average forecast error of FOMC decisions varies 5 to 10 basis points between the best and worstperformers across the sample. This heterogeneity is found to be related to both the skills of analysts - such as their educational and employment backgrounds - and to geography. In particular, forecasters located in regions which experience more idiosyncratic economic conditions perform worse in anticipating monetary policy. This evidence is indicative that limited attention and heterogeneous priors are present even for anticipating important events such as monetary policy decisions. Moreover, the paper shows that such heterogeneity is economically important as it leads to greater financial market volatility after FOMC meetings. Finally, policy-makers are not impotent in influencing such heterogeneity as Fed communication is found to affect forecast accuracy significantly.