How accurate are professional forecasts in Asia? Evidence from ten countries

Chen, Qiwei; Costantini, Mauro; Deschamps, Bruno

doi:10.1016/j.ijforecast.2015.05.004

Cited by 30 publications

(25 citation statements)

References 36 publications

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“…Some really good forecast performances can be noted in chapters 4.1. and 4.2. for the shortest horizons of 3 and 6 months in particular. This finding can also be found in Chen et al (2016), Capistran and Lopez-Moctezuma (2014) and Boero et al (2008) corroborating their reports of expectations anchoring resulting in slow improvement of forecasts. Capistran and Lopez-Moctezuma (2014) find that forecasters start with forecasts which are too 'rosy' to present an unconditional mean of the variable and in later revisions over-smooth the forecasts (holding on to their views for too long) leading to positive serial correlations.…”

Section: Comments On the Findings And Comparison To Similar Studiessupporting

confidence: 87%

“…They further point out that forecast accuracy was weakest in predicting the year-ahead slowdowns of GDP and that GDP forecasting was not efficient. Chen et al (2016) and Boero et al (2008) also find that forecasting GDP growth doesn't perform well regarding efficiency (as opposed to forecasting inflation). Furthermore, € Oller and Barot (2000), report that forecast accuracy is overall higher regarding inflation.…”

Section: Comments On the Findings And Comparison To Similar Studiesmentioning

confidence: 99%

“…However, forecast analysis of macroeconomic variables still remains a dynamic field of research covering different regions of the world dealing with efforts to improve overall forecasting abilities while also trying to capture different countryspecific issues. For instance, Chen, Costantini, and Deschamps (2016) analyse the accuracy of GDP growth and inflation forecasts in Asia, while Pierdzioch and R€ ulke (2015) focus on exchange rate forecasts in emerging economies in Asia, eastern Europe and South America. When it comes to single economy study, Tsuchiya and Suehara (2015) and Deschamps and Bianchi (2012) focus on China, Carvalho and Minella (2012) and Baghestani and Marchon (2015) deal with Brazil, Capistran and Lopez-Moctezuma (2014) investigate Mexican inflation and GDP growth forecasts, while Baghestani and Danila (2014) focus on inflation forecasting in the Czech Republic.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Although the above mentioned research sometimes differs in approaches and methods used, inflation and real growth rate of GDP dominate as macroeconomic variables analysed. Moreover, the three research papers that analyse both inflation and real GDP growth rates, Deschamps and Bianchi (2012), Capistran and Lopez-Moctezuma (2014) and Chen et al (2016) all use the three-dimensional panel of forecasts to test biasedness and efficiency. Forecast accuracy evaluation differs in approaches when it comes to directional accuracy testing with some researchers omitting this specific assessment such as Deschamps and Bianchi (2012) and Capistran and Lopez-Moctezuma (2014).…”

Section: Literature Reviewmentioning

confidence: 99%

“…However, forecasts do seem to exhibit, as would be reasonable to expect, a general tendency of improving as forecast horizons become shorter. Some authors, most notably Boero et al (2008), Capistran and Lopez-Moctezuma (2014) and Chen et al (2016) relate this to slow adjustments of forecasters' expectations implying an asymmetric loss function leading to increased forecast error. Therefore, research efforts are devoted to this particular problem alone such as in Behrens, Pierdzioch, and Risse (2018) who use random forests method developed in the machine-learning literature to analyse whether forecasters have flexible rather than symmetric (quadratic) loss function.…”

Section: Literature Reviewmentioning

confidence: 99%

See 4 more Smart Citations

Analysis of forecasts of GDP growth and inflation for the Croatian economy

Jerić

Zoričić

Dolinar

2020

Economic Research-Ekonomska Istraživanja

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The paper provides, for the first time, the analysis of the quality of the GDP growth and inflation forecasts by multiple forecasters for the Croatian economy. Forecast data of 6 different institutions in the 2006-2015 period are analysed. Efficiency and biasedness test are conducted following the Davies and Lahiri econometric framework based on a three-dimensional panel dataset which includes multiple individual forecasters, target years and forecast horizons. In order to assess directional accuracy we follow the approach by Pesaran and Timmermann. Based on MAE values we find the forecasts to be accurate on a scale comparable to the European Commission's forecast reported in 2016 for the EU and the euro area. GDP growth forecasts exhibit a strong bias related to a notable tendency to over-predict GDP growth. In the case of inflation forecasting the bias is still present for all forecasters, albeit less pronounced and not statistically significant for all of them. There is evidence of forecast inefficiency regarding both analysed variables. Overall, inflation forecasting presents less of a challenge due to specific monetary policy strategy and inaccurate national accounts data accompanied by extended revision process of the GDP data by the government's statistics office.

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Section: Comments On the Findings And Comparison To Similar Studiessupporting

confidence: 87%

Section: Comments On the Findings And Comparison To Similar Studiesmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 3 more Smart Citations

Analysis of forecasts of GDP growth and inflation for the Croatian economy

Jerić

Zoričić

Dolinar

2020

Economic Research-Ekonomska Istraživanja

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Evaluating early warning and coincident indicators of business cycles using smooth trends

Bujosa

Garcı́a-Ferrer

Juan

et al. 2019

Journal of Forecasting

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We present a composite coincident indicator designed to capture the state of the Spanish economy. Our approach, based on smooth trends, guarantees that the resulting indicators are reasonably smooth and issue stable signals, reducing the uncertainty. The coincident indicator has been checked by comparing it with the one recently proposed by the Spanish Economic Association index. Both indexes show similar behavior and ours captures very well the beginning and end of the official recessions and expansion periods. Our coincident indicator also tracks very well alternative mass media indicators typically used in the political science literature. We also update our composite leading indicator (Bujosa, García-Ferrer, and de Juan, 2013). It systematically predicts the peaks and troughs of the new Spanish Economic Association index and provides significant aid in forecasting annual GDP growth rates. Using only real data available at the beginning of each forecast period, our indicator one step-ahead forecasts shows improvements over other individual alternatives and different forecast combinations.

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Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts

Kunze¹

2019

Journal of Forecasting

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How accurate are professional forecasts in Asia? Evidence from ten countries

Cited by 30 publications

References 36 publications

Analysis of forecasts of GDP growth and inflation for the Croatian economy

Analysis of forecasts of GDP growth and inflation for the Croatian economy

Evaluating early warning and coincident indicators of business cycles using smooth trends

Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts

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