Can you improve upon the GDP forecasts of professional forecasters using information about monetary policy?

Abstract

In this paper, I examine the forecast errors of macroeconomic forecasters to see whether or not their forecasts are efficiently using information about monetary policy. The goal is to investigate, using real-time data, previous research that has found inefficiency in forecasts with respect to monetary policy. I use a real-time data set to investigate the relationship between GDP forecast errors and changes in monetary policy both in-sample and with out-of-sample methods. Out-of-sample results show that exploiting inefficiency is difficult in real time.