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Experts´ Macroeconomics Expectations: An Evaluation of Mexican Short-Run Forecasts

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Author Info
Carlos Capistrán
Gabriel López-Moctezuma

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Abstract

This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Specialists in Economics from the Private Sector, maintained by Banco de México. The study concentrates on the mean across forecasters for the period from January 1995 to April 2008. The study evaluates the efficiency in the use of information and the relative performance using as benchmarks forecasts from time series models and from other macroeconomic variables. Inflation, interest rate, and GDP expectations seem to incorporate information in a relatively efficient manner. These forecasts appear to be better, in mean squared error terms, than the benchmark forecasts, except for the case of one-yearahead inflation. In addition, exchange rate forecasts do not seem to optimally incorporate available information and do not seem to improve upon forecasts obtained from a random walk model.

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File URL: http://www.banxico.org.mx/documents/%7BE2EA8012-DDB7-25CA-EE78-3DF2AEC50CA0%7D.pdf
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Publisher Info
Paper provided by Banco de México in its series Working Papers with number 2008-11.

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Date of creation: Aug 2008
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Handle: RePEc:bdm:wpaper:2008-11

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Web page: http://www.banxico.org.mx
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Related research
Keywords: Predictive ability; Rational expectations; Rolling-forecasts.;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation

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This page was last updated on 2009-11-26.

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