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Macroeconomic forecasting: can forecast combination help?

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  • Geoff Kenny

Abstract

The sharp contraction in global and euro area activity in 2008 and 2009 took most macroeconomic forecasters by surprise. This article draws on ongoing ECB research investigating the improvements in forecasting performance that may be achieved from combining different forecasts. An application of forecast combination is provided using the forecasts from the ECB Survey of Professional Forecasters (SPF), with a particular focus on the recent recession. JEL Classification: C22, C53, E17

Suggested Citation

  • Geoff Kenny, 2010. "Macroeconomic forecasting: can forecast combination help?," Research Bulletin, European Central Bank, vol. 11, pages 9-12.
    • Handle: RePEc:ecb:ecbrbu:2010:0011:3
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    File URL: http://www.ecb.europa.eu/pub/pdf/other/researchbulletin11en.pdf
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    References listed on IDEAS

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    Cited by:

    1. Kenny, Geoff & Morgan, Julian, 2011. "Some lessons from the financial crisis for the economic analysis," Occasional Paper Series 130, European Central Bank.
    2. Kenny, Geoff & Morgan, Julian, 2011. "Some lessons from the financial crisis for the economic analysis," Occasional Paper Series 130, European Central Bank.
    3. Jan-Christoph Rülke & Maria Silgoner & Julia Wörz, 2012. "Herding Behavior of Business Cycle Forecasters in Times of Economic Crises," WHU Working Paper Series - Economics Group 12-03, WHU - Otto Beisheim School of Management.

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    More about this item

    Keywords

    forecast combination;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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