Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7Jonas Dovern and Johannes Weisser International Journal of Forecasting, 2011, vol. 27, issue 2, 452-465 Abstract: In this paper, we use survey data to analyze the accuracy, unbiasedness and efficiency of professional macroeconomic forecasts. We analyze a large panel of individual forecasts that has not previously been analyzed in the literature. We provide evidence on the properties of forecasts for all G7-countries and for four different macroeconomic variables. Our results show a high degree of dispersion of forecast accuracy across forecasters. We also find that there are large differences in the performances of forecasters, not only across countries but also across different macroeconomic variables. In general, the forecasts tend to be biased in situations where the forecasters have to learn about large structural shocks or gradual changes in the trend of a variable. Furthermore, while a sizable fraction of forecasters seem to smooth their GDP forecasts significantly, this does not apply to forecasts made for other macroeconomic variables. Keywords: Evaluating; forecasts; Macroeconomic; forecasting; Rationality; Survey; data; Fixed-event; forecasts (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:27:y::i:2:p:452-465 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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