Economists have long understood that financial market variables contain considerable information about the future of the economy. Recently a number of researchers have pointed out that interest rates and interest rate spreads--that is, differences between interest rates on alternative financial...

Opinion about the reliability of economic forecasts ranges widely. Some argue that they are literally worthless, at the same time that most forecasters can point to a sequence of near perfect predictions. How much confidence should one place in economic forecasts? The errors vary with many...

This article presents evidence on the role that judgmental adjustments play in macroeconomic forecast accuracy. It starts by contrasting the predictive records of four prominent forecasters who adjust their models with those of three models that are used mechanically. The adjusted forecasts tend...

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving...

We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...

This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a "large" panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar...