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Economic Forecasts, Rationality, and the Processing of New Information over Time

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  • Swidler, Steve
  • Ketcher, David

Abstract

This study analyzes real GNP and inflation forecasts published in the Blue Chip Economic Indicators. The survey revises annual growth rate estimates every month, thus making it possible to analyze the value of new information and its contribution to the estimates' predictive power of the actual values. If information is used efficiently, updated forecasts should provide more accurate predictions. The empirical results suggest that the revised forecasts of real GNP growth and inflation incorporate new information in a rational manner. In addition, the most recent inflation forecasts are found to be unbiased estimates on the actual rate of inflation. Copyright 1990 by Ohio State University Press.

Suggested Citation

  • Swidler, Steve & Ketcher, David, 1990. "Economic Forecasts, Rationality, and the Processing of New Information over Time," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(1), pages 65-76, February.
  • Handle: RePEc:mcb:jmoncb:v:22:y:1990:i:1:p:65-76
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    Cited by:

    1. Capistrán, Carlos & López-Moctezuma, Gabriel, 2014. "Forecast revisions of Mexican inflation and GDP growth," International Journal of Forecasting, Elsevier, vol. 30(2), pages 177-191.
    2. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
    3. Pedersen, Michael, 2015. "What affects the predictions of private forecasters? The role of central bank forecasts in Chile," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1043-1055.
    4. Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, Department of Economics and Business Economics, Aarhus University.
    5. Ming Liu & Sumner la Croix, 2013. "A Cross-Country Index of Intellectual Property Rights in Pharmaceutical Innovations," Working Papers 201313, University of Hawaii at Manoa, Department of Economics.
    6. Ball, Laurence & Croushore, Dean, 2003. " Expectations and the Effects of Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(4), pages 473-484, August.
    7. Ackert, Lucy F & Hunter, William C, 1994. "Rational Expectations and the Dynamic Adjustment of Security Analysts' Forecasts to New Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 387-401, Fall.
    8. Cho, Dong W., 2002. "Do revisions improve forecasts?," International Journal of Forecasting, Elsevier, vol. 18(1), pages 107-115.
    9. Davies, Antony, 2006. "A framework for decomposing shocks and measuring volatilities derived from multi-dimensional panel data of survey forecasts," International Journal of Forecasting, Elsevier, vol. 22(2), pages 373-393.

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