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A Real Time Evaluation of the Central Bank of Chile GDP Growth Forecasts

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  • Pablo Pincheira

Abstract

In this paper we evaluate the Central Bank of Chile annual GDP growth forecasts over the period 1991-2009 using a real-time database. We compare the Central Bank of Chile forecasts with those of the Survey of Professional Forecasters (SPF), Consensus Forecasts, and simple time-series models. We compare all forecasts to first and quasi-final GDP growth vintages. We evaluate a number of different forecast properties, including forecast accuracy and efficiency. We report mixed results in terms of root mean squared prediction errors. Depending on the sample period, the forecast horizon and the vintage used in the analysis, forecasts from the Central Bank of Chile may outperform or be outperformed by the benchmarks. Despite these mixed results, differences in root mean squared prediction errors are generally moderate and have no statistical significance. Nevertheless, our efficiency analysis, in addition to the fact that in some periods the forecasts produced by the Central Bank of Chile have been outperformed by alternative forecasts, opens the question about the room for improvement in the accuracy of the Central Bank of Chile forecasts. While the room for improvement may actually exist, our results suggest that this room seems to be small for point forecasts and larger for interval forecasts.

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Bibliographic Info

Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 556.

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Date of creation: Feb 2010
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Handle: RePEc:chb:bcchwp:556

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  8. Michael Pedersen, 2010. "Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data," Working Papers Central Bank of Chile 595, Central Bank of Chile.
  9. Bentancor, Andrea & Pincheira, Pablo, 2010. "Predicción de errores de proyección de inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(305), pages 129-154, enero-mar.
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  14. Dalibor Eterovic, 2009. "Policy Reform Under Electoral Uncertainty," Working Papers Central Bank of Chile 546, Central Bank of Chile.
  15. Groen, Jan J.J. & Kapetanios, George & Price, Simon, 2009. "A real time evaluation of Bank of England forecasts of inflation and growth," International Journal of Forecasting, Elsevier, vol. 25(1), pages 74-80.
  16. 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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  18. Andersson, Michael K. & Karlsson, Gustav & Svensson, Josef, 2007. "The Riksbank’s Forecasting Performance," Working Paper Series 218, Sveriges Riksbank (Central Bank of Sweden).
  19. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
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Cited by:
  1. Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 04-39, December.
  2. Pablo Pincheira & Hernán Rubio, 2010. "The Low Predictive Power of Simple Phillips Curves in Chile: A Real-Time Evaluation," Working Papers Central Bank of Chile 559, Central Bank of Chile.

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