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Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence
(Private Enterprise Research Center, Texas A&M University, 2020-03-10)
Does the Federal Reserve have an “information advantage� in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks ...
Markov Switching Rationality
(Private Enterprise Research Center, Texas A&M University, 2022-05-23)
The authors propose novel tests for the detection of Markov switching deviations from forecast rationality. Existing forecast rationality tests either focus on constant deviations from forecast rationality over the full ...
Evaluating Forecast Performance with State Dependence
(Private Enterprise Research Center, Texas A&M University, 2022-05-16)
In forecasting models, usually no single model emerges as the best overall, as forecasting performance is prone to instabilities because the economic mechanisms providing the data work better on one model during some periods ...