Evaluating Wall Street Journal survey forecasters: a multivariate approach
AbstractThis paper proposes a methodology for assessing the joint performance of multivariate forecasts of economic variables. The methodology is illustrated by comparing the rankings of forecasters by the Wall Street Journal with the authors’ alternative rankings. The results show that the methodology can provide useful insights as to the certainty of forecasts as well as the extent to which various forecasts are similar or different.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number 2002-8.
Date of creation: 2002
Date of revision:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John C. Robertson & Ellis W. Tallman, 1999. "Vector autoregressions: forecasting and reality," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 4-18.
- repec:wop:humbsf:1999-4 is not listed on IDEAS
- Daniel F. Waggoner & Tao Zha, 1998.
"Conditional forecasts in dynamic multivariate models,"
98-22, Federal Reserve Bank of Atlanta.
- Daniel F. Waggoner & Tao Zha, 1999. "Conditional Forecasts In Dynamic Multivariate Models," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 639-651, November.
- Christian Dreger & Georg Stadtmann, 2008. "What drives heterogeneity in foreign exchange rate expectations: insights from a new survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 360-367.
- Koske, Isabell & Stadtmann, Georg, 2009. "Exchange rate expectations: The role of person specific forward looking variables," Economics Letters, Elsevier, vol. 105(3), pages 221-223, December.
- Carvalho, Fabia A. & Minella, André, 2012. "Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1371-1391.
- Audretsch, David B. & Stadtmann, Georg, 2005.
"Biases in FX-Forecasts: Evidence from Panel Data,"
19, Deutsche Bank Research.
- Andrew Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2006.
"Transparency, expectations, and forecasts,"
2006-03, Federal Reserve Bank of Atlanta.
- Frenkel, Michael & Rülke, Jan-Christoph & Stadtmann, Georg, 2009. "Two currencies, one model? Evidence from the Wall Street Journal forecast poll," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 588-596, October.
- Herman O. Stekler & Raj M. Talwar, 2011. "Economic Forecasting in the Great Recession," Working Papers 2011-005, The George Washington University, Department of Economics, Research Program on Forecasting.
- 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.
- Filip Novotny & Marie Rakova, 2010. "Assessment of Consensus Forecasts Accuracy: The Czech National Bank Perspective," Working Papers 2010/14, Czech National Bank, Research Department.
- Sinclair, Tara M. & Gamber, Edward N. & Stekler, Herman & Reid, Elizabeth, 2012. "Jointly evaluating the Federal Reserve’s forecasts of GDP growth and inflation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 309-314.
- Andy Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2003. "Forecast evaluation with cross-sectional data: The Blue Chip Surveys," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 17-31.
- Christian Dreger & Georg Stadtmann, 2006. "What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey," Discussion Papers of DIW Berlin 624, DIW Berlin, German Institute for Economic Research.
- Karlyn Mitchell & Douglas Pearce, 2010. "Do Wall Street economists believe in Okun’s Law and the Taylor Rule?," Journal of Economics and Finance, Springer, vol. 34(2), pages 196-217, April.
- Ruelke, Jan C. & Frenkel, Michael R. & Stadtmann, Georg, 2010. "Expectations on the yen/dollar exchange rate - Evidence from the Wall Street Journal forecast poll," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 355-368, September.
- Pierdzioch, Christian & Rülke, Jan Christoph & Stadtmann, Georg, 2012. "House price forecasts in times of crisis: Do forecasters herd?," Discussion Papers 318, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Christian Pierdzioch & Jan Christoph Rülke & Georg Stadtmann, 2012. "House Price Forecasts, Forecaster Herding, and the Recent Crisis," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(1), pages 16-29, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Diane Rosenberger).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.