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HOW BIASED ARE U.S. GOVERNMENT FORECASTS OF THE FEDERAL DEBT?

Authors :
Ericsson, Neil R.
Source :
Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers; Jan2017, Issue 1189, preceding p1-45, 46p
Publication Year :
2017

Abstract

Government debt and forecasts thereof attracted considerable attention during the recent financial crisis. The current paper analyzes potential biases in different U.S. government agencies' one-year-ahead forecasts of U.S. gross federal debt over 1984--2012. Standard tests typically fail to detect biases in these forecasts. However, impulse indicator saturation (IIS) detects economically large and highly significant time-varying biases, particularly at turning points in the business cycle. These biases do not appear to be politically related. IIS defines a generic procedure for examining forecast properties; it explains why standard tests fail to detect bias; and it provides a mechanism for potentially improving forecasts. [ABSTRACT FROM AUTHOR]

Details

Language :
English
Issue :
1189
Database :
Complementary Index
Journal :
Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers
Publication Type :
Report
Accession number :
121423955
Full Text :
https://doi.org/10.17016/IFDP.2017.1189