Share this page:
Economic Data
Research Interests
time series econometrics, forecastingSelected Work
“Reconsidering the Fed's Inflation Forecasting Advantage”
with Amy Guisinger and Michael T. Owyang
Forthcoming in Journal of Money, Credit, and Banking
Related working paper (PDF)
“On the Real-Time Predictive Content of Financial Conditions Indices for Growth”
with Aaron Amburgey
Journal of Applied Econometrics, March 2023, Vol. 38, No. 2, pp. 137-163
Related working paper (PDF)
“Binary Conditional Forecasts”
with Joseph McGillicuddy and Michael T. Owyang
Journal of Business & Economic Statistics, 2022, Vol. 40, No. 3, pp. 1246-1258
Related working paper (PDF)
Replication files (.zip)
“Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR”
with Michael T. Owyang and Tatevik Sekhposyan
International Journal of Central Banking, December 2021, Vol. 17, No. 5, pp. 327-367
Related working paper (PDF)
“Diverging Tests of Equal Predictive Ability”
Econometrica, July 2020, Vol. 88, No. 4, pp. 1753-1754
Related working paper (PDF)
“Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors”
with Todd E. Clark and Elmar Mertens
Review of Economics and Statistics, March 2020, Vol. 102, No. 1, pp. 17-33
Related working paper (PDF)
“An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts”
with Joseph McGillicuddy
Journal of Applied Econometrics, November 2018
Related working paper (PDF)
“Tests Of Predictive Ability For Vector Autoregressions Used For Conditional Forecasting”
with Todd E. Clark
Journal of Applied Econometrics, April 2017, Vol. 32, No. 3, pp. 533-553
Related working paper (PDF)
“Advances in Forecast Evaluation”
with Todd E. Clark
Elsevier Handbook of Economic Forecasting, September 2013, Vol. 2B, pp. 1107-1202
“Asymptotics for Out-of-Sample Tests of Granger Causality”
Journal of Econometrics, October 2007, Vol. 140, No. 2, pp. 719-752
“Tests of Equal Forecast Accuracy and Encompassing for Nested Models”
with Todd E. Clark
Journal of Econometrics, November 2001, Vol. 105, No. 1, pp. 85-110
“Regression-Based Tests of Predictive Ability”
with Kenneth D. West
International Economic Review, November 1998, Vol. 39, No. 4, pp. 817-40
“FRED-QD: A Quarterly Database for Macroeconomic Research”
with Serena Ng
Federal Reserve Bank of St. Louis Review, First Quarter 2021
“A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth”
with Sean P. Grover and Kevin L. Kliesen
Federal Reserve Bank of St. Louis Review, Fourth Quarter 2016
“Tracking the U.S. Economy with Nowcasts”
with Kevin L. Kliesen
Federal Reserve Bank of St. Louis The Regional Economist, Second Quarter 2016, Vol. 24, No. 2
“Factor-Based Prediction of Industry-Wide Bank Stress”
with Sean P. Grover
Federal Reserve Bank of St. Louis Review, Second Quarter 2014
“Following the Fed with a News Tracker”
Federal Reserve Bank of St. Louis Economic Synopses, 2012, No. 3
“Initial Claims and Employment Growth: Are We at the Threshold?”
with Kevin L. Kliesen and Linpeng Zheng
Federal Reserve Bank of St. Louis Economic Synopses, 2011, No. 41
“Should Food Be Excluded from Core CPI?”
Federal Reserve Bank of St. Louis Economic Synopses, 2011, No. 28
“Housing's Role in a Recovery”
Federal Reserve Bank of St. Louis Economic Synopses, 2011, No. 6
“Real-Time Forecast Averaging with ALFRED”
with Chanont Banternghansa
Federal Reserve Bank of St. Louis Review, January/February 2011
“Using Stock Market Liquidity to Forecast Recessions”
Federal Reserve Bank of St. Louis Economic Synopses, 2010, No. 20
“Using FOMC Forecasts to Forecast the Economy”
Federal Reserve Bank of St. Louis Economic Synopses, 2010, No. 5
“Bootstrapping Out-of-Sample Predictability Tests with Real-Time Data” (PDF)
with Silvia Goncalves and Yongxu Yao
Federal Reserve Bank of St. Louis Working Paper 2023-029A, December 2023
“Growth-at-Risk Is Investment-at-Risk” (PDF)
with Aaron Amburgey
Federal Reserve Bank of St. Louis Working Paper 2023-020A, August 2023
“Tests of Conditional Predictive Ability: Existence, Size, and Power” (PDF)
Federal Reserve Bank of St. Louis Working Paper 2020-050A, December 2020
“Tests of Conditional Predictive Ability: Some Simulation Evidence” (PDF)
Federal Reserve Bank of St. Louis Working Paper 2019-011C, April 2019
“Real-Time Forecast Averaging with ALFRED” (PDF)
with Chanont Banternghansa
Federal Reserve Bank of St. Louis Working Paper 2010-033A, September 2010
“Forecast Disagreement Among FOMC Members” (PDF)
with Chanont Banternghansa
Federal Reserve Bank of St. Louis Working Paper 2009-059A, December 2009
“Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts” (PDF)
with Todd E. Clark
Federal Reserve Bank of St. Louis Working Paper 2008-028A, August 2008
Michael W. McCracken is a senior economic policy advisor in the Research division of the Federal Reserve Bank of St. Louis, which he joined in August 2008. His research interests are in time series econometrics with an emphasis on macroeconomic forecasting. He received his Ph.D. from the University of Wisconsin-Madison in 1998.
He has published papers in Econometrica, Journal of Econometrics, Review of Economics and Statistics, Journal of Business and Economic Statistics, International Economic Review, Journal of Money, Credit, and Banking, International Journal of Central Banking, and Journal of Applied Econometrics, among others. He has a been an editor at International Journal of Forecasting and Journal of Applied Econometrics and an associate editor at Review of Economics and Statistics.
He previously worked as an economist at the Federal Reserve Board of Governors and as a professor of economics at both the University of Missouri and Louisiana State University.
