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Economic Forecasts, Rationality, and the Processing of New Information over Time

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  • Swidler, Steve
  • Ketcher, David
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    Abstract

    This study analyzes real GNP and inflation forecasts published in the Blue Chip Economic Indicators. The survey revises annual growth rate estimates every month, thus making it possible to analyze the value of new information and its contribution to the estimates' predictive power of the actual values. If information is used efficiently, updated forecasts should provide more accurate predictions. The empirical results suggest that the revised forecasts of real GNP growth and inflation incorporate new information in a rational manner. In addition, the most recent inflation forecasts are found to be unbiased estimates on the actual rate of inflation. Copyright 1990 by Ohio State University Press.

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    Bibliographic Info

    Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

    Volume (Year): 22 (1990)
    Issue (Month): 1 (February)
    Pages: 65-76

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    Handle: RePEc:mcb:jmoncb:v:22:y:1990:i:1:p:65-76

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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    Cited by:
    1. Laurence Ball & Dean Croushore, 1995. "Expectations and the effects of monetary policy," Working Papers 95-22, Federal Reserve Bank of Philadelphia.
    2. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
    3. Davies, Antony, 2006. "A framework for decomposing shocks and measuring volatilities derived from multi-dimensional panel data of survey forecasts," International Journal of Forecasting, Elsevier, vol. 22(2), pages 373-393.
    4. Carlos Capistrán & Gabriel López-Moctezuma, 2010. "Forecast Revisions of Mexican Inflation and GDP Growth," Working Papers 2010-11, Banco de México.
    5. Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, School of Economics and Management, University of Aarhus.
    6. Ming Liu & Sumner la Croix, 2013. "A Cross-Country Index of Intellectual Property Rights in Pharmaceutical Innovations," Working Papers 201313, University of Hawaii at Manoa, Department of Economics.
    7. 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.
    8. Cho, Dong W., 2002. "Do revisions improve forecasts?," International Journal of Forecasting, Elsevier, vol. 18(1), pages 107-115.

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