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Accuracy and Properties of German Business Cycle Forecasts

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  • Steffen Osterloh

Abstract

In this paper the accuracy of a wide range of German business cycle forecasters is assessed for the period from 1995 to 2005. 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 naïve 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.

Suggested Citation

  • 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.
  • Handle: RePEc:aeq:aeqaeq:v54_y2008_i1_q1_p27-57
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    Cited by:

    1. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36.
    2. Sachverständigenrat zur Begutachtung der Gesamtwirtschaftlichen Entwicklung (ed.), 2013. "Gegen eine rückwärtsgewandte Wirtschaftspolitik. Jahresgutachten 2013/14," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201314, April.
    3. Ulrich Heilemann & Susanne Schnorr-Bäcker, 2016. "Could The Start Of The German Recession 2008-2009 Have Been Foreseen? Evidence From Real-Time Data," Working Papers 2016-003, The George Washington University, Department of Economics, Research Program on Forecasting.
    4. 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.
    5. Jörg Döpke & Ulrich Fritsche & Boriss Siliverstovs, 2010. "Evaluating German business cycle forecasts under an asymmetric loss function," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(1), pages 1-18.
    6. Gerit Vogt, 2010. "Zur Güte der ifo Dresden Konjunkturprognosen," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 17(01), pages 28-32, 02.

    More about this item

    Keywords

    business cycle forecasting; forecast evaluation; Consensus forecasts;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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