Assessment of Consensus Forecasts Accuracy: The Czech National Bank Perspective
AbstractConsensus Economics forecasts for euro-area GDP growth, consumer and producer price inflation and the USD/EUR exchange rate are used by the Czech National Bank to make assumptions about future external economic developments. This paper compares the accuracy of the aforementioned Consensus forecasts to those of the European Commission, International Monetary Fund and Organization for Economic Co-operation and Development, and also to the naive forecast and the forecast implied by the forward exchange rate. In the period from 1994 to 2009 Consensus forecasts for effective euro-area consumer price inflation and GDP growth beat the alternatives by a difference which is typically statistically significant. The results are more diverse for the pre-crisis sample (1994â€“2007). The Consensus forecast for euro-area producer price inflation significantly outperforms the naive forecast in the short-term. Finally, the Consensus forecast for the USD/EUR exchange rate during the period from 2002 to 2009 is more precise than the naive forecast and the forecast implied by the forward rate.
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Bibliographic InfoPaper provided by Czech National Bank, Research Department in its series Working Papers with number 2010/14.
Date of creation: Dec 2010
Date of revision:
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Forecasting accuracy; prediction process; survey forecasts.;
Other versions of this item:
- Filip Novotný & Marie Raková, 2011. "Assessment of Consensus Forecasts Accuracy: The Czech National Bank Perspective," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(4), pages 348-366, August.
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-18 (All new papers)
- NEP-CBA-2011-06-18 (Central Banking)
- NEP-FOR-2011-06-18 (Forecasting)
- NEP-MAC-2011-06-18 (Macroeconomics)
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