Treasury’s Forecasting Performance: A Head-to-Head Comparison
AbstractWork on assessing Treasury’s forecasting performance to date has focussed on comparisons against consensus forecasts. This study compares Treasury’s GDP and CPI forecast performance against individual private sector forecasters as well as major public sector institutions such as the IMF, OECD and the Reserve Bank of New Zealand. The head-to-head comparison makes it possible to assess Treasury’s forecasting performance relative to its peers. When compared across all evaluation periods covering 1996-2005, Treasury’s GDP forecast performance was ranked in the middle at seventh out of 16. The large forecast error for the 1998 year had a material impact on Treasury’s overall forecast performance. Treasury’s CPI forecast performance was not as good, placing tenth out of 12. Large forecast errors for the 1998-2000 period accounted for the poor CPI forecast performance. Treasury’s overall forecast performance was better when evaluating only the current year Budget forecasts, placing fourth for GDP and sixth for CPI. This suggests that Treasury is better at forecasting the current year than the year ahead. Consistent with international studies, no single forecaster consistently outperforms the Consensus, with Treasury beating the Mean 30% of the time for GDP and Consensus 33% of the time for CPI. All forecasters find it difficult to pick recessions and turning points. Large forecasting groups generally have a poorer forecasting record on average.
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Bibliographic InfoPaper provided by New Zealand Treasury in its series Treasury Working Paper Series with number 06/10.
Date of creation: Jul 2006
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Forecast accuracy; New Zealand;
Find related papers by JEL classification:
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
- NEP-FOR-2006-08-05 (Forecasting)
- NEP-MAC-2006-08-05 (Macroeconomics)
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.:
- Victor Zarnowitz & Phillip Braun, 1994.
"Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance,"
NBER Working Papers
3965, National Bureau of Economic Research, Inc.
- Victor Zarnowitz & Phillip Braun, 1993. "Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 11-94 National Bureau of Economic Research, Inc.
- Grace Juhn & Prakash Loungani, 2002. "Further Cross-Country Evidence on the Accuracy of the Private Sector's Output Forecasts," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 4.
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