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on Forecasting |
| By: | Jennifer L. Castle; David F. Hendry |
| Abstract: | Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction mechanisms, built by automatic model selection, are compared to various robust devices. Forecast-error taxonomies for aggregated and time-disaggregated information reveal that the impacts of structural breaks are identical between these, so no gain results, helping interpret the empirical findings. Forecast failures in structural models are driven by their deterministic terms, confirming location shifts as a pernicious cause thereof, and explaining the success of robust devices. |
| Keywords: | Inflation Forecasting, Structural Breaks, Robust Forecasts, Time-disaggregation, Forecast-error Taxonomies |
| JEL: | C32 C53 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:309&r=for |
| By: | Mewael F. Tesfaselassie |
| Abstract: | In a model with forward-looking expectations, the paper examines communication of central bank forecasts when the inflation target is subject to unobserved changes. It characterizes the effect of disclosure of forecasts on inflation and output stabilization and the choice of an active versus passive monetary policy. The paper shows that these choices depend on the slope of the Phillips curve, the central bank's preference weight on inflation relative to output and the ratio of the variability of the inflation target relative to the cost-push disturbance. The paper briefly discusses how disclosure of forecasts may be beneficial for a society that is more concerned about inflation stabilization than the central bank. |
| Keywords: | Forward-looking expectations, inflation target, central bank fore- casts, disclosure policy |
| JEL: | E42 E43 E52 E58 |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieliw:1319&r=for |
| By: | Osterloh, Steffen |
| Abstract: | In this paper the accuracy of a wide range of German business cycle forecasters is assessed for the past 10 years. For this purpose, a data set is used comprising forecasts published on a monthly basis by Consensus Economics. The application of several descriptive as well as statistical measures reveals that the accuracy of the 2-years forecasts is low relative to a simple naïve forecast. This observation can mainly be explained by a systematic overestimation of the growth rates by the forecasters. Moreover, the lack of accuracy can also be explained partly by insufficient information efficiency as well as imitation behaviour. Finally, it is shown that notwithstanding the common errors which affected the accuracy of all forecasters mainly because of their systematic overestimation, they differ significantly in their forecast accuracy. |
| Keywords: | business cycle forecasting, forecast evaluation, Consensus forecasts |
| JEL: | C52 E32 E37 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:5480&r=for |
| By: | David Rosnick; Mark Weisbrot |
| Abstract: | This report examines the International Monetary Fund's (IMF) projections for economic growth for Argentina and Venezuela in recent years. It shows that the IMF consistently made large errors in overestimating Argentina's GDP growth for the years 2000, 2001 and 2002, during the country's 1998-2002 depression, and large underestimates for the years 2003-2006, as Argentina's economy grew rapidly. The paper also notes the IMF's repeated large errors in underestimating Venezuela's GDP growth for the years since 2004. |
| JEL: | E27 F34 F33 F47 |
| Date: | 2007–04 |
| URL: | http://d.repec.org/n?u=RePEc:epo:papers:2007-10&r=for |
| By: | Carlos Bowles (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Roberta Friz; Veronique Genre (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Geoff Kenny (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Aidan Meyler (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Tuomas Rautanen |
| Abstract: | Eight years have passed since the European Central Bank (ECB) launched its Survey of Professional Forecasters (SPF). The SPF asks a panel of approximately 75 forecasters located in the European Union (EU) for their short- to longer-term expectations for macroeconomic variables such as euro area inflation, growth and unemployment. This paper provides an initial assessment of the information content of this survey. First, we consider shorter-term (i.e., one- and two-year ahead rolling horizon) forecasts. The analysis suggests that, over the sample period, in common with other private and institutional forecasters, the SPF systematically under-forecast inflation but that there is less evidence of such systematic errors for GDP and unemployment forecasts. However, these findings, which generally hold regardless of whether one considers the aggregate SPF panel or individual responses, should be interpreted with caution given the relatively short sample period available for the analysis. Second, we consider SPF respondents’ assessment of forecast uncertainty using information from heir probability distributions. The results suggest that, particularly at the individual level, SPF respondents do not seem to fully capture the overall level of macroeconomic uncertainty. Moreover, even at the aggregate level, a more sophisticated evaluation of the SPF density forecasts using the probability integral transform largely confirms this assessment. Lastly, we consider longer-term macroeconomic expectations from the SPF, where, as expectations cannot yet be assessed against so few actual realisations, we provide a mainly qualitative assessment. With regard to inflation, the study suggests that the ECB has been successful at anchoring longterm expectations at rates consistent with its primary objective to ensure price stability over the medium term. Long-term GDP expectations – which should provide an indication of the private sector’s assessment of potential growth – have declined over the sample period and the balance of risks reported by respondents has generally been skewed to the downside. |
| Date: | 2007–04 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbops:20070059&r=for |
| By: | Yusuf, Sulaiman Adesina; Salau, Adekunle Sheu |
| Abstract: | This paper provides the prediction of future production of citrus and mango in the medium term up to 2010. The prediction was based on the assumptions that past trends (area planted and yield) and existence of normal weather pattern will hold. Time trend model with specific emphasis on growth model was employed. The analysis delineated three different eras (period between 1961 and 2003, 1986 – 2003, and 1991-2003). These eras were used to simulate the different policy regimes of Regulation, Structural Adjustment era and Liberalization era. In general, output of citrus and mango maintained upward trend over the years. However, the growth rate was highest for the era including Structural Adjustment. Following from this, output predictions over the medium term are highest for the analysis with Structural Adjustment era. |
| Keywords: | Mango; Citrus; Production; Yield; Prediction; Trend analysis & Nigeria; |
| JEL: | Q10 D0 C2 C22 C20 |
| Date: | 2007–04–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:2691&r=for |