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Do Forecasters Inform or Reassure? Evaluation of the German Real-Time Data

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  • Konstantin A. Kholodilin
  • Boriss Siliverstovs

Abstract

The paper evaluates the quality of the German national accounting data (GDP and its useside components) as measured by the magnitude and dispersion of the forecast / revision errors. It is demonstrated that government consumption series are the least reliable, whereas real GDP and real private consumption data are the most reliable. In addition, early forecasts of GDP, private consumption, and investment growth rates are shown to be systematically upward biased. Finally, early forecasts of all the variables seem to be no more accurate than naïve forecasts based on the historical mean of the final data.

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Bibliographic Info

Article provided by Duncker & Humblot, Berlin in its journal Applied Economics Quarterly.

Volume (Year): 55 (2009)
Issue (Month): 4 ()
Pages: 269-294

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Handle: RePEc:aeq:aeqaeq:v55_y2009_i4_q4_p269-294

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Related research

Keywords: Quality of statistical data; real-time data; signal-to-noise ratio; forecasts; revisions;

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References

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  1. Jon Faust & John H. Rogers & Jonathan H. Wright, 2000. "News and noise in G-7 GDP announcements," International Finance Discussion Papers 690, Board of Governors of the Federal Reserve System (U.S.).
  2. Kajal Lahiri & Xuguang Sheng, 2009. "Learning and Heterogeneity in GDP and Inflation Forecasts," Discussion Papers 09-05, University at Albany, SUNY, Department of Economics.
  3. McNees, Stephen K., 1989. "Forecasts and actuals: The trade-off between timeliness and accuracy," International Journal of Forecasting, Elsevier, vol. 5(3), pages 409-416.
  4. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669.
  5. Ashiya, Masahiro, 2007. "Forecast accuracy of the Japanese government: Its year-ahead GDP forecast is too optimistic," Japan and the World Economy, Elsevier, vol. 19(1), pages 68-85, January.
  6. de Gooijer, Jan G. & Klein, Andre, 1992. "On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes," International Journal of Forecasting, Elsevier, vol. 7(4), pages 501-513, March.
  7. Jan Jacobs & Jan-Egbert Sturm, 2004. "Do Ifo Indicators Help Explain Revisions in German Industrial Production?," CESifo Working Paper Series 1205, CESifo Group Munich.
  8. N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc.
  9. Batchelor, Roy, 2007. "Bias in macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(2), pages 189-203.
  10. Kajal Lahiri & Gultekin Isiklar, 2006. "How Far Ahead Can We Forecast? Evidence From Cross-country Surveys," Discussion Papers 06-04, University at Albany, SUNY, Department of Economics.
  11. Graham Elliott & Allan Timmermann & Ivana Komunjer, 2005. "Estimation and Testing of Forecast Rationality under Flexible Loss," Review of Economic Studies, Oxford University Press, vol. 72(4), pages 1107-1125.
  12. Knetsch, Thomas A. & Reimers, Hans-Eggert, 2006. "How to treat benchmark revisions? The case of German production and orders statistics," Discussion Paper Series 1: Economic Studies 2006,38, Deutsche Bundesbank, Research Centre.
  13. Loungani, Prakash, 2001. "How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth," International Journal of Forecasting, Elsevier, vol. 17(3), pages 419-432.
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Citations

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Cited by:
  1. Cimadomo, Jacopo, 2011. "Real-time data and fiscal policy analysis: a survey of the literature," Working Paper Series 1408, European Central Bank.
  2. Ullrich Heilemann & Herman O. Stekler, 2013. "Has The Accuracy of Macroeconomic Forecasts for Germany Improved?," German Economic Review, Verein für Socialpolitik, vol. 14(2), pages 235-253, 05.
  3. Helmut Herwartz & Konstantin A. Kholodilin, 2011. "In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence," Discussion Papers of DIW Berlin 1173, DIW Berlin, German Institute for Economic Research.
  4. Fátima Cardoso & António Rua, 2011. "The Quarterly National Accounts in real-time: an analysis of the revisions over the last decade," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.

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