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Las expectativas macroeconómicas de los especialistas. Una evaluación de pronósticos de corto plazo en México

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Author Info

  • Capistrán, Carlos

    (Dirección General de Investigación Económica. Banco de México)

  • López-Moctezuma, Gabriel

    (Dirección General de Investigación Económica. Banco de México)

Abstract

This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Professional Forecasters, maintained by Banco de México. The study concentrates on the mean across forecasters for the period from January 1995 to April 2008. Their efficiency in the use of information is examined, as well as their relative performance using as benchmarks forecasts obtained from time-series, macroeconomic, and financial variables. In general, consensus forecasts do not pass tests of unbiasedness, lack of serial correlation, and efficient use of available information, suggesting opportunities to improve the quality of these forecasts. However, the forecasts seem to be, in general, more accurate than the benchmark forecasts, although this relative forecasting advantage appears to diminish in a sample that starts in January 2002.// Se analiza los pronósticos de inflación, tipo de cambio, tasa de interés y crecimiento del PIB para horizontes de corto plazo contenidos en la Encuesta sobre Expectativas de los Especialistas en Economía del Sector Privado que recaba mensualmente el Banco de México. El estudio se enfoca en el pronóstico de consenso para el periodo de enero de 1995 a abril de 2008. Se examina la eficiencia en el uso de información, así como el desempeño relativo de los pronósticos de la encuesta utilizando como referencia pronósticos sencillos de series de tiempo, macroeconómicos y financieros. Se encuentra que los pronósticos de consenso de los especialistas, en general, no superan pruebas de ausencia de sesgo, de ausencia de autocorrelación en exceso o de uso de información pública, lo que sugiere oportunidades para mejorar dichos pronósticos. Sin embargo, los pronósticos de consenso parecen ser, en general, más precisos que los pronósticos de referencia, aunque al analizar una muestra que empieza en enero de 2002 se encuentra que la precisión relativa de los pronósticos de consenso disminuye respecto a la de pronósticos sencillos.

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Bibliographic Info

Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXVII (2) (2010)
Issue (Month): 306 (abril-junio)
Pages: 275-312

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Handle: RePEc:elt:journl:v:77:y:2010:i:306:p:275-312

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Web page: http://www.fondodeculturaeconomica.com/

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Related research

Keywords: expectativas racionales; capacidad de predicción; pronósticos con horizontes móviles;

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References

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  1. 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.
  2. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA.
  3. Fabia A de Carvalho & Mauricio S. Bugarin, 2006. "Inflation Expectations in Latin America," JOURNAL OF LACEA ECONOMIA, LACEA - LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION.
  4. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  5. Allan Timmermann, 2006. "An Evaluation of the World Economic Outlook Forecasts," IMF Working Papers 06/59, International Monetary Fund.
  6. Chumacero, Romulo A, 2001. "Empirical Analysis of Systematic Errors in Chilean GDP Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 37-45, January.
  7. Zarnowitz, Victor, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," American Economic Review, American Economic Association, vol. 68(2), pages 313-19, May.
  8. Victor Zarnowitz, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," NBER Working Papers 0229, National Bureau of Economic Research, Inc.
  9. 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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Citations

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Cited by:
  1. Capistrán, Carlos & López-Moctezuma, Gabriel, 2014. "Forecast revisions of Mexican inflation and GDP growth," International Journal of Forecasting, Elsevier, vol. 30(2), pages 177-191.
  2. Pablo Pincheira B. & Nicolás Fernández, 2011. "Jaque Mate a las Proyecciones de Consenso," Working Papers Central Bank of Chile 630, Central Bank of Chile.

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