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How do the OECD Growth Projections for the G7 Economies Perform?: A Post-Mortem

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Lukas Vogel ()

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Abstract

The quality of the OECD's Economic Outlook growth projections was last evaluated in-house at the peak of the previous business cycle, calling for a reassessment. This paper analyses the OECD's annual GDP growth projections for the G7 countries over the period 1991-2006 and compares them with the Consensus Economics forecasts. It shows that OECD growth projections display a number of desirable features: projections for the current year are unbiased and efficient; projection errors tend to shrink as the horizon shortens; and projections are directionally accurate most of the time. Like those produced elsewhere, the OECD projections also suffer from shortcomings: one-year-ahead projections display a positive bias, mainly reflecting a propensity to overpredict during slowdowns; spring one-year-ahead projections are far less informative than autumn ones; and turning points are poorly anticipated one year ahead. Regression tests suggest that the OECD and Consensus add value to naïve forecasts for spring current-year and autumn one-year-ahead projections.

Les projections de croissance de l'OCDE pour les pays du G7 : une analyse post mortem
La dernière évaluation interne de la qualité des projections de croissance présentées dans les Perspectives économiques de l?OCDE remonte au pic du cycle précédent. Le temps est donc venu d'un réexamen. La présente étude analyse les projections de l'OCDE pour la croissance annuelle du PIB dans les pays du G7 sur la période 1991-2006 et les compare aux prévisions de Consensus Economics. Elle montre que les projections de l'OCDE possèdent un certain nombre de bonnes propriétés : celles pour l?année en cours sont non-biaisées et efficaces; les erreurs de projection ont tendance à diminuer à mesure que l'horizon de la projection se rapproche ; et dans la plupart des cas les projections anticipent correctement les ralentissements et accélérations de l'activité. Néanmoins, comme celles produites ailleurs, les projections ont aussi leurs limites : celles pour l'année suivante présentent un biais positif, reflétant principalement une propension à surestimer la croissance en phase de ralentissement; les projections de printemps pour l'année suivante sont beaucoup moins informatives que celles produites à l'automne; et les points de retournement sont rarement anticipés un an plus tôt. L'analyse économétrique montre que les projections de l'OCDE ainsi que les prévisions de Consensus Economics apportent de la valeur ajoutée aux projections naïves dans le cas des projections de printemps pour l'année en cours et des projections de l'automne pour l'année suivante.

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Paper provided by OECD Economics Department in its series OECD Economics Department Working Papers with number 573.

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Date of creation: 04 Sep 2007
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Handle: RePEc:oec:ecoaaa:573-en

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Related research
Keywords: growth croissance prévisions forecasts GDP PIB projections projections economic outlook perspectives économiques

Find related papers by JEL classification:
E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation
E27 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

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