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Why did we fail to predict GDP during the last cycle? A breakdown of forecast errors for Austria

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Author Info
Martin Schneider (Oesterreichische Nationalbank, Economic Analysis Division, P.O. Box 61, A-1010 Vienna,)
Christian Ragacs (Oesterreichische Nationalbank, Economic Analysis Division, P.O. Box 61, A-1010 Vienna,)

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Abstract

This paper proposes an informal taxonomy to break down forecast errors of institutional forecasts. This breakdown is demonstrated for the forecasts of the Oesterreichische Nationalbank (OeNB) for Austrian GDP. The main result is that the largest part of the forecast errors can be explained by erroneous projections of the international environment. Data revisions also substantially contribute to the forecasting error for the forecast of the current year. Domestic exogenous variables play a minor role only. The inclusion of judgement improves the forecasting performance.

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Publisher Info
Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 151.

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Length: 21 pages
Date of creation: 11 Feb 2009
Date of revision:
Handle: RePEc:onb:oenbwp:151

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Postal: P.O. Box 61, A-1011 Vienna, Austria
Phone: +43/1/404 20 7205
Fax: +43/1/404 20 7299
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Web page: http://www.oenb.at/
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Postal: Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria
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Related research
Keywords: Forecast error taxonomy; Breakdown; Austria; Judgement; Technical forecast.;

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References listed on IDEAS
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.:
  1. Marie Diron, 2006. "Short-term forecasts of euro area real GDP growth - an assessment of real-time performance based on vintage data," Working Paper Series 622, European Central Bank. [Downloadable!]
    Other versions:
  2. Lupi, Claudio & Peracchi, Franco, 2003. "The limits of statistical information: How important are GDP revisions in Italy?," Economics & Statistics Discussion Papers esdp03005, University of Molise, Dept. SEGeS. [Downloadable!]
  3. Keereman, F., 1999. "The Track Record of the Commission Forecasts," European Economy - Economic Papers 137, Commission of the EC, Directorate-General for Economic and Financial Affairs (DG ECFIN).
  4. Martin Schneider & Markus Leibrecht, 2006. "AQM-06: The Macroeconomic Model of the OeNB," Working Papers 132, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  5. Allan Timmermann, 2006. "An Evaluation of the World Economic Outlook Forecasts," IMF Working Papers 06/59, International Monetary Fund. [Downloadable!]
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This page was last updated on 2009-11-19.

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