| By: |
Ager, Philipp;
Kappler, Marcus;
Osterloh, Steffen |
| Abstract: |
In this paper we analyze the macroeconomic forecasts of the Consensus
Forecasts for 12 countries over the period from 1996 to 2006 regarding bias
and information efficiency. A pooled approach is employed which permits the
evaluation of all forecasts for each target variable over 24 horizons
simultaneously. It is shown how the pooled approach needs to be adjusted in
order to accommodate the forecasting scheme of the Consensus Forecasts.
Furthermore, the pooled approach is extended by a sequential test with the
purpose of detecting the critical horizon after which the forecast should be
regarded as biased. Moreover, heteroscedasticity in the form of year-specific
variances of macroeconomic shocks is taken into account. The results show that
in the analyzed period which was characterized by pronounced macroeconomic
shocks, several countries show biased forecasts, especially with forecasts
covering more than 12 months. In addition, information efficiency has to be
rejected in almost all cases. |
| Keywords: |
business cycle forecasting, forecast evaluation, Consensus Forecasts |
| JEL: |
C52 E32 E37 |
| Date: |
2007 |
| URL: |
http://d.repec.org/n?u=RePEc:zbw:zewdip:6655&r=for |