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Twenty-two years of Japanese institutional forecasts

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Author Info

  • Masahiro Ashiya

Abstract

This paper evaluates accuracy and rationality of real GDP forecasts made by 38 Japanese private institutions over the past 22 years. It finds that about 80% of current-year forecasts and year-ahead forecasts made by them pass various tests for rationality. Moreover, the encompassing test reveals the following results: (a) All of these forecasts outperform the naïve forecasts; (b) About half of their current-year forecasts are inferior to the corresponding forecast of VAR, VECM, or the Japanese government; (c) Almost all of their year-ahead forecasts are significantly superior to the corresponding forecast of VAR or the Japanese government, but one-third of them are significantly inferior to VECM forecast; (d) The consensus forecast outperforms typical institution's forecast.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 2 (March)
Pages: 79-84

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Handle: RePEc:taf:apfelt:v:1:y:2005:i:2:p:79-84

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References

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  1. Richard G. Anderson & Dennis L. Hoffman & Robert H. Rasche, 2001. "A vector error correction forecasting model of the U.S. economy," Working Papers 1998-008, Federal Reserve Bank of St. Louis.
  2. Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
  3. Ashiya, Masahiro, 2003. "Testing the rationality of Japanese GDP forecasts: the sign of forecast revision matters," Journal of Economic Behavior & Organization, Elsevier, vol. 50(2), pages 263-269, February.
  4. Jansen, Dennis W. & Kishan, Ruby Pandey, 1996. "An evaluation of federal reserve forecasting," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 89-109.
  5. Ashiya, Masahiro, 2002. "Accuracy and rationality of Japanese institutional forecasters," Japan and the World Economy, Elsevier, vol. 14(2), pages 203-213, April.
  6. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research.
  7. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  8. Joutz, Fred & Stekler, H. O., 2000. "An evaluation of the predictions of the Federal Reserve," International Journal of Forecasting, Elsevier, vol. 16(1), pages 17-38.
  9. Ashiya, Masahiro, 2007. "Forecast accuracy of the Japanese government: Its year-ahead GDP forecast is too optimistic," Japan and the World Economy, Elsevier, vol. 19(1), pages 68-85, January.
  10. Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 671-90, August.
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Cited by:
  1. Jeffrey Frankel & Jesse Schreger, . "Over-optimistic official forecasts and fiscal rules in the eurozone," Working Paper 83166, Harvard University OpenScholar.
  2. Tsuchiya, Yoichi, 2012. "Evaluating Japanese corporate executives’ forecasts under an asymmetric loss function," Economics Letters, Elsevier, vol. 116(3), pages 601-603.
  3. Ashiya, Masahiro, 2007. "Forecast accuracy of the Japanese government: Its year-ahead GDP forecast is too optimistic," Japan and the World Economy, Elsevier, vol. 19(1), pages 68-85, January.
  4. Ashiya, Masahiro, 2006. "Forecast accuracy and product differentiation of Japanese Institutional Forecasters," International Journal of Forecasting, Elsevier, vol. 22(2), pages 395-401.
  5. Jeffrey A. Frankel & Jesse Schreger, 2012. "Over-optimistic Official Forecasts in the Eurozone and Fiscal Rules," NBER Working Papers 18283, National Bureau of Economic Research, Inc.

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