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Polish GDP forecast errors: a tale of inefficiency

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  • Jakub Rybacki

    (Warsaw School of Economics, Collegium of Economic Analysis and Polish Economic Institute)

Abstract

The aim of this paper is to evaluate gross domestic product (GDP) forecast errors of Polish professional forecasters based on the individual data from the Rzeczpospolita daily newspaper. This dataset contains predictions obtained from forecasting competitions during the years 2013–2019 in Poland. Our analysis shows a lack of statistical efficiency of these predictions. First, there is a systemic negative bias, which is especially strong during the years 2016–2019. Second, the forecasters failed to correctly predict the effects of major changes in fiscal policy. Third, there is evidence of strategic behaviour; for example, the forecasters tended to revise their estimates too frequently and too excessively. We also document herding behaviour, i.e. an alignment of the most extreme forecasts towards market consensus with time, and an overly strong reliance on forecasts from NBP inflation projections in cases of estimates for longer horizons.

Suggested Citation

  • Jakub Rybacki, 2021. "Polish GDP forecast errors: a tale of inefficiency," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 123-142.
    • Handle: RePEc:nbp:nbpbik:v:52:i:2:p:123-142
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    References listed on IDEAS

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    Cited by:

    1. Rybacki, Jakub & Gniazdowski, Michał, 2021. "Macroeconomic Forecasting in Poland: Lessons From the COVID-19 Outbreak," MPRA Paper 107682, University Library of Munich, Germany.
    2. Jakub Rybacki & Michał Gniazdowski, 2023. "Macroeconomic forecasting in Poland: lessons from the external shocks," Bank i Kredyt, Narodowy Bank Polski, vol. 54(1), pages 45-64.

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    More about this item

    Keywords

    GDP forecasting;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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