Using forecast evaluation to improve the accuracy of the Greenbook forecast

Arai, Natsuki

doi:10.1016/j.ijforecast.2013.02.002

Cited by 11 publications

(3 citation statements)

References 13 publications

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“…In the case of SPF, the mean and median forecasts are very close to each other, as documented in Croushore (2010). In addition, Arai (2014) finds that the SPF median forecasts for GDP growth present no systematic biases. Hence, a number of previous studies consider the median as standard consensus projections.…”

Section: Uncertainty Based On Different Measures Of Central Tendencsupporting

confidence: 52%

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Sekkel

2017

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We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of various economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework. We jointly model and estimate macroeconomic (common) and indicator-specific uncertainties of four indicators, using a factor stochastic volatility model. Our macroeconomic uncertainty has three major spikes aligned with the 1973-75, 1980, and 2007-09 recessions, while other recessions were characterized by increases in indicator-specific uncertainties. We also show that the selection of data vintages affects the estimates and relative size of jumps in estimated uncertainty series. Finally, our macroeconomic uncertainty has a persistent negative impact on real economic activity, rather than producing "wait-and-see" dynamics.

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Section: Uncertainty Based On Different Measures Of Central Tendencsupporting

confidence: 52%

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Sekkel

2017

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“…Arai (2020) also demonstrates that

{\hat{{Z}}}_{{t}{+}{\rm{h}}|{\rm{t}}}^{{* }}

can be approximated by a forecast that is unbiased and efficient, if such a forecast is available. For example, Arai (2020) considers the deviation of the conditioning path from forecast generated by the Survey of Professional Forecasters, which are optimal according to previous studies (Arai, 2014; Stark, 2010). However, in our case, alternate optimal ten‐year projections of macroeconomic assumptions are not available.…”

Section: Methodsmentioning

confidence: 99%

Impact of macroeconomic assumptions on United States Department of Agriculture's baseline farm income projections

Regmi,

Kuethe

2023

J of Agr & App Econ Assoc

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The United States Department of Agriculture's (USDA) agricultural baseline projections are important in shaping US agricultural policy. We investigate the degree to which previous findings of bias and inefficiency of USDA baseline projections of farm income and its components are driven by underlying macroeconomic assumptions. Once we control for the deviation of underlying macroeconomic assumptions from their observed path, we find that USDA projections of net cash income and its components are optimal for 73.3% of the projection horizons and the length of informative horizons improves. These findings may help USDA projection users, adjust their expectations when making plans and decisions.

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“…As pointed out by Patton and Timmermann (), incorporating forecast revisions will make the forecast evaluation significantly more powerful, which could be even used to improve the accuracy of forecasts as discussed in Arai ().…”

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confidence: 99%

Evaluating the Efficiency of the FOMC's New Economic Projections

Arai¹

2016

J of Money Credit Banking

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Since 2007, Federal Open Market Committee (FOMC) policymakers have been publishing detailed numerical projections of macroeconomic series over the next 3 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.

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Using forecast evaluation to improve the accuracy of the Greenbook forecast

Cited by 11 publications

References 13 publications

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Impact of macroeconomic assumptions on United States Department of Agriculture's baseline farm income projections

Evaluating the Efficiency of the FOMC's New Economic Projections

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