Accuracy and properties of German business cycle forecasts
AbstractIn this paper the accuracy of a wide range of German business cycle forecasters is assessed for the past 10 years. For this purpose, a data set is used comprising forecasts published on a monthly basis by Consensus Economics. The application of several descriptive as well as statistical measures reveals that the accuracy of the 2-years forecasts is low relative to a simple na?ve forecast. This observation can mainly be explained by a systematic overestimation of the growth rates by the forecasters. Moreover, the lack of accuracy can also be explained partly by insufficient information efficiency as well as imitation behaviour. Finally, it is shown that notwithstanding the common errors which affected the accuracy of all forecasters mainly because of their systematic overestimation, they differ significantly in their forecast accuracy. --
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Bibliographic InfoPaper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 06-87.
Date of creation: 2006
Date of revision:
business cycle forecasting; forecast evaluation; Consensus forecasts;
Other versions of this item:
- Steffen Osterloh, 2008. "Accuracy and Properties of German Business Cycle Forecasts," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(1), pages 27-57.
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-14 (All new papers)
- NEP-EEC-2007-04-14 (European Economics)
- NEP-FOR-2007-04-14 (Forecasting)
- NEP-MAC-2007-04-14 (Macroeconomics)
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- Filip Novotny & Marie Rakova, 2010.
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2010/14, Czech National Bank, Research Department.
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KOF Working papers
09-237, KOF Swiss Economic Institute, ETH Zurich.
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