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Hamid Baghestani
''A Comparison of U.S. Housing Starts Forecasts''
( 2009, Vol. 29 No.4 )
This study examines the Federal Reserve and private forecast accuracy of housing starts. We show that the Federal Reserve (private) forecasts are (generally) unbiased and superior to the random walk benchmark. At the shorter horizon, the Federal Reserve and private forecasts embody distinct predictive information, indicating that one can gain a significant improvement in forecast accuracy by combining the two sets of forecasts. At the longer horizon, our findings support the asymmetric information hypothesis that the Federal Reserve forecasts embody useful predictive information beyond that contained in the private forecasts.
Keywords: Greenbook forecasts; Survey of Professional Forecasters, Unbiasedness, Asymmetric information, Forecast combination
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : Jul 31 2009 Manuscript Accepted : Oct 05 2009

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