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Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases

Author

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  • Markku Lanne

    (University of Helsinki and HECER)

Abstract

We compare the accuracy of the survey forecasts and forecasts implied by economic binary options on the U.S. non-farm payroll change. For the first-release data both the market-based and survey forecasts are biased, while they are rational and approximately equally accurate for later releases. Both forecasts are also more accurate for later releases. Because of predictability in the revision process, this indicates that the investors in the economic derivatives market are incapable of taking the measurement error in the preliminary estimates efficiently into account. This suggests that economic stability could be enhanced by more accurate first-release figures.

Suggested Citation

  • Markku Lanne, 2009. "Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases," Economics Bulletin, AccessEcon, vol. 29(3), pages 2231-2240.
    • Handle: RePEc:ebl:ecbull:eb-08e00021
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    References listed on IDEAS

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    Cited by:

    1. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
    2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.

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    More about this item

    Keywords

    Macroeconomic derivatives; Data revision; Forecasting;
    All these keywords.

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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