This dissertation consists of three essays on macroeconomics and forecasting. Central banks have recently engaged in unconventional monetary policies at the zero lower bound, where their forecasts play a crucial role in signaling the future path of monetary policy. The work presented herein investigates the effect of monetary policy announcements at the zero lower bound in Japan, and evaluates the efficiency of forecasts that are explicitly tied to monetary policy decisions in the United States.The first chapter investigates the effects of monetary policy announcements at the zero lower bound using Japanese data from 1998 to 2013. I find that the effect of expansionary monetary policy shocks is directly passed on to corporate bond yields, notably for high-grade corporate bond yields. However, the magnitude of estimated pass-through to stock prices and the exchange rate is substantially smaller than in the U.S., and not statistically significant in most cases. Such differences may reflect a higher degree of market segmentation or smaller scope to achieve further accommodation in Japan.The second chapter evaluates the efficiency of the FOMC;;s new economic projections. Since 2007, FOMC policymakers have been publishing detailed numerical projections of macroeconomic series over the next three years. By testing whether the revisions to these projections are unpredictable, I find that FOMC;;s efficiency is generally accepted for inflation, but often rejected for real economic variables, notably for the unemployment rate. The rejection is due to the strong autocorrelation of revisions, which may reflect information rigidity of FOMC;;s unemployment projections. The joint efficiency of the entire projection is accepted in most cases.The third chapter evaluates the efficiency of Fed;;s Greenbook forecast and uses this evaluation to improve the accuracy of the Greenbook forecast. Recently, Patton and Timmermann (2012) proposed a more powerful kind of forecast efficiency regression at multiple horizons, and showed that itprovides evidence against the efficiency of the Fed;;s Greenbook forecasts. I use their forecast efficiency evaluation to propose a method for adjusting the Greenbook forecasts. Using this method in a real-time out-of-sample forecasting exercise, I find that it gives modest improvements in the accuracy of the forecasts for GDP deflator and CPI, but not for other variables. The improvements are statistically significant in some cases, the magnitude of which can be as high as an 18 percent reduction in the root mean square prediction error.
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