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Jaque Mate a las Proyecciones de Consenso

  • Pablo Pincheira B.
  • Nicolás Fernández

In this article we analyze bias and autocorrelation properties of inflation forecast errors coming from the surveys carried out by Consensus Economics. We consider monthly forecasts for Chile, México and Brazil as well as quarterly forecasts for the US, Canada, Sweden and Japan. Our sample spans the period from March 2002 to June 2008. We consider forecasts at several predictive horizons. Our results indicate the existence of excessive autocorrelation and bias in forecast errors, which is not consistent with optimality under quadratic loss. We also explore whether these findings of excessive autocorrelation and bias enable us to build new and more accurate inflation forecasts. We evaluate these new forecasts in an out-of sample exercise and find that they are more accurate in the cases of Chile, Mexico, Brazil and the US. For Canada, our results are mixed depending on the forecasting horizon. For Sweden and Japan, however, the new forecasts display lower accuracy. It is worth mentioning that in the best case, our new forecasts display a 45% reduction in the Mean Squared Prediction Error.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 630.

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Date of creation: May 2011
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Handle: RePEc:chb:bcchwp:630
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  1. Jacob A. Mincer & Victor Zarnowitz, 1969. "The Evaluation of Economic Forecasts," NBER Chapters, in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 3-46 National Bureau of Economic Research, Inc.
  2. Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
  3. Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
  4. Capistrán, Carlos & López-Moctezuma, Gabriel, 2010. "Las expectativas macroeconómicas de los especialistas. Una evaluación de pronósticos de corto plazo en México," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(306), pages 275-312, abril-jun.
  5. Pablo Pincheira & Roberto Álvarez, 2012. "Evaluation of Short Run Inflation Forecasts in Chile," Working Papers Central Bank of Chile 674, Central Bank of Chile.
  6. Bentancor, Andrea & Pincheira, Pablo, 2010. "Predicción de errores de proyección de inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(305), pages 129-154, enero-mar.
  7. Loungani, Prakash, 2001. "How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth," International Journal of Forecasting, Elsevier, vol. 17(3), pages 419-432.
  8. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
  9. Joutz, Fred & Stekler, H. O., 2000. "An evaluation of the predictions of the Federal Reserve," International Journal of Forecasting, Elsevier, vol. 16(1), pages 17-38.
  10. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
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