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GDP Forecasting by Czech Institutions: An Empirical Evaluation

Author

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  • Jiří Šindelář

Abstract

This paper evaluates the accuracy of real GDP growth forecasts published in the period 1995-2013 by two Czech institutions: the Ministry of Finance (MF) and the Czech National Bank (CNB). A two-stepped approach is adopted: first a battery of forecasting errors (MAE, RMSE, MASE) is calculated, complementary to evaluation papers already available. Then statistical analysis is carried out by comparing both MF and CNB forecasts with OECD, European Commission and consensus benchmarks (Kruskal-Wallis test), assessing the presence of systemic bias (Wilcoxon test) and determining their incremental improvement (Page trend test). The results show that although some error patterns might suggest performance deficiencies (i.e. during the recession periods), the accuracy of forecasts prepared by both the MF and CNB does not differ significantly from the benchmark forecasts; MF and CNB predictions do not contain systemic bias and their accuracy improves as the horizon shortens. The paper also highlights several methodological shortcomings in the internal evaluations conducted by both institutions, indicating a potential for further improvement.

Suggested Citation

  • Jiří Šindelář, 2017. "GDP Forecasting by Czech Institutions: An Empirical Evaluation," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(2), pages 155-169.
    • Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:2:id:601:p:155-169
    DOI: 10.18267/j.pep.601
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    References listed on IDEAS

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    1. Grant Allan, 2012. "Evaluating the usefulness of forecasts of relative growth," Working Papers 1214, University of Strathclyde Business School, Department of Economics.
    2. repec:ags:aaea07:436 is not listed on IDEAS
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    More about this item

    Keywords

    GDP forecasting; accuracy measures; Ministry of Finance; Czech National Bank;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • H68 - Public Economics - - National Budget, Deficit, and Debt - - - Forecasts of Budgets, Deficits, and Debt
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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