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Abstract

In this paper we evaluate the Central Bank of Chile annual GDP growth forecasts over the period 1991-2009 using a real-time database. We compare the Central Bank of Chile forecasts with those of the Survey of Professional Forecasters (SPF), Consensus Forecasts, and simple time-series models. We compare all forecasts to first and quasi-final GDP growth vintages. We evaluate a number of different forecast properties, including forecast accuracy and efficiency. We report mixed results in terms of root mean squared prediction errors. Depending on the sample period, the forecast horizon and the vintage used in the analysis, forecasts from the Central Bank of Chile may outperform or be outperformed by the benchmarks. Despite these mixed results, differences in root mean squared prediction errors are generally moderate and have no statistical significance. Nevertheless, our efficiency analysis, in addition to the fact that in some periods the forecasts produced by the Central Bank of Chile have been outperformed by alternative forecasts, opens the question about the room for improvement in the accuracy of the Central Bank of Chile forecasts. While the room for improvement may actually exist, our results suggest that this room seems to be small for point forecasts and larger for interval forecasts.

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Bibliographic Info

Article provided by Centro de Estudios Monetarios Latinoamericanos in its journal Money Affairs.

Volume (Year): XXIII (2010)
Issue (Month): 1 (January-June)
Pages: 37-73

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Handle: RePEc:cml:moneya:v:xxiii:y:2010:i:1:p:37-73

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1. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
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9. Michael Pedersen, 2010. "Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data," Working Papers Central Bank of Chile 595, Central Bank of Chile.
10. Bentancor, Andrea & Pincheira, Pablo, 2010. "Predicción de errores de proyección de inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(305), pages 129-154, enero-mar.
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Cited by:

1. Pablo Pincheira & Hernán Rubio, 2010. "The Low Predictive Power of Simple Phillips Curves in Chile: A Real-Time Evaluation," Working Papers Central Bank of Chile 559, Central Bank of Chile.
2. Pablo Pincheira B., 2011. "Un Test Conjunto de Superioridad Predictiva para los Pronósticos de Inflación Chilena," Working Papers Central Bank of Chile 620, Central Bank of Chile.
3. Pablo Pincheira & Carlos A. Medel, 2012. "Forecasting Inflation with a Simple and Accurate Benchmark: a Cross-Country Analysis," Working Papers Central Bank of Chile 677, Central Bank of Chile.
4. Eduardo López E. & Ercio Muñoz S. & Víctor Riquelme P., 2011. "Una Evaluación de los Modelos de Proyección del Precio del Cobre: ¿Podemos ir Más Allá de la Autorregresión?," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 14(3), pages 83-96, December.
5. Pablo Pincheira, 2011. "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile 607, Central Bank of Chile.
6. Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 04-39, December.
7. Carlos Medel & Marcela Urrutia, 2010. "Proyección Agregada y Desagregada del PIB Chileno con Procedimientos Automatizados de Series de Tiempo," Working Papers Central Bank of Chile 577, Central Bank of Chile.

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