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An Evaluation of the Growth and Unemployment Forecasts in the ECB Survey of Professional Forecasters

Author

Listed:
  • Carlos Bowles
  • Roberta Friz
  • Veronique Genre
  • Geoff Kenny
  • Aidan Meyler
  • Tuomas Rautanen

Abstract

In this paper we provide a comprehensive evaluation of the euro area GDP growth and unemployment rate forecasts collected in the quarterly ECB Survey of Professional Forecasters (SPF) over the period 1999Q1–2008Q4. Our results suggest that while SPF forecasts generally appear to be slightly superior to naïve and purely backwardlooking benchmarks, forecast errors nonetheless exhibit a high degree of persistence. In addition, our analysis of the heterogeneity across individual SPF replies suggests that the broad pattern of the individual forecasts is essentially the same as that of the aggregate SPF results. This may refl ect a high degree of commonality in the information available (and not available) to panel members, thus leading them to “get it wrong” (or right) not only in the aggregate, but also individually. In particular, although a small number of forecasters perform substantially above average for some variables and horizons, none does so systematically for all variables and all horizons. Lastly, we have presented and assessed the information about forecast uncertainty provided by the SPF. In line with other studies based on the US SPF, disagreement among panel members does not appear to be a good proxy for overall macroeconomic uncertainty, i.e ., a high degree of consensus is not necessarily an indication of a low level of forecast uncertainty. Our analysis also suggests that, at the individual level, panel members may not fully internalise the overall level of macroeconomic uncertainty. For example, compared with the level of uncertainty indicated by the historical volatility of actual GDP growth and the unemployment rate, the perceptions of individual panel members about uncertainty appear quite low. This possible underestimation of overall uncertainty is much less severe when densities are aggregated across forecasters.

Suggested Citation

  • Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2010. "An Evaluation of the Growth and Unemployment Forecasts in the ECB Survey of Professional Forecasters," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-28.
  • Handle: RePEc:oec:stdkab:5km33sg210kk
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    File URL: http://dx.doi.org/10.1787/jbcma-2010-5km33sg210kk
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    Citations

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    Cited by:

    1. Oinonen, Sami & Paloviita, Maritta, 2014. "Analysis of aggregated inflation expectations based on the ECB SPF survey," Research Discussion Papers 29/2014, Bank of Finland.
    2. Maritta Paloviita and Matti Viren, 2012. "Are individual survey expectations internally consistent?," Discussion Papers 77, Aboa Centre for Economics.
    3. repec:jfr:ijfr11:v:9:y:2018:i:1:p:171-188 is not listed on IDEAS
    4. Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015. "Optimal combination of survey forecasts," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
    5. López Pérez, Víctor, 2015. "Does uncertainty affect participation in the European Central Bank's Survey of Professional Forecasters?," Working Paper Series 1807, European Central Bank.
    6. Magdalena Grothe & Aidan Meyler, 2018. "Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 171-188, January.
    7. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
    8. Mihaela SIMIONESCU, 2015. "The Evaluation of Global Accuracy of Romanian Inflation Rate Predictions Using Mahalanobis Distance," Management Dynamics in the Knowledge Economy Journal, College of Management, National University of Political Studies and Public Administration, vol. 3(1), pages 133-149, March.
    9. Maritta Paloviita & Matti Viren, 2014. "Inflation and output growth uncertainty in individual survey expectations," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 69-81, February.
    10. Geoff Kenny & Thomas Kostka & Federico Masera, 2015. "Density characteristics and density forecast performance: a panel analysis," Empirical Economics, Springer, vol. 48(3), pages 1203-1231, May.
    11. Geoff Kenny & Thomas Kostka & Federico Masera, 2015. "Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro-Area SPF," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 1-46, December.
    12. Paloviita, Maritta & Virén, Matti, 2014. "Analysis of forecast errors in micro-level survey data," Research Discussion Papers 8/2014, Bank of Finland.
    13. repec:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1181-6 is not listed on IDEAS
    14. Kortelainen, Mika & Paloviita, Maritta & Viren, Matti, 2016. "How useful are measured expectations in estimation and simulation of a conventional small New Keynesian macro model?," Economic Modelling, Elsevier, vol. 52(PB), pages 540-550.
    15. Joshua Abel & Robert Rich & Joseph Song & Joseph Tracy, 2016. "The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of Professional Forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 533-550, April.
    16. Bourmpoula, Evangelia. & Wieser, Christina., 2014. "An accuracy assessment of the global employment trends' unemployment rate forecasts," ILO Working Papers 994888903402676, International Labour Organization.
    17. Bourmpoula, Evangelia. & Wieser, Christina., 2014. "An accuracy assessment of the global employment trends' unemployment rate forecasts," Global Employment Trends Reports 994888903402676, International Labour Office, Economic and Labour Market Analysis Department.
    18. Sami Oinonen & Maritta Paloviita, 2017. "How Informative are Aggregated Inflation Expectations? Evidence from the ECB Survey of Professional Forecasters," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(2), pages 139-163, November.
    19. Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2013. "Combining expert forecasts: Can anything beat the simple average?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 108-121.
    20. repec:ilo:ilowps:488890 is not listed on IDEAS
    21. repec:gam:jecnmx:v:5:y:2017:i:4:p:44-:d:114224 is not listed on IDEAS

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