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Vergleichende Evaluation der Konjunkturprognosen des Instituts für Makroökonomie und Konjunkturforschung an der Hans-Böckler-Stiftung für den Zeitraum 2005-2014

Author

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  • Ulrich Fritsche
  • Artur Tarassow

Abstract

Es werden die makroökonomischen Prognosen der acht großen deutschen Forschungsinstitute evaluiert. Die Datenbasis umfasst die publizierten Prognosen für 11 Aggregate für den Zeitraum 2005 bis 2014. Zunächst wird jede Variable separat mittels aktueller Evaluationsmethoden untersucht. Diese umfassen: Theil'sches U, Diebold-Mariano-Test, regressionsbasierte sowie nicht-parametrische Tests auf Rationalität, Bestimmung einer asymmetrischen Prognoseverlustfunktion und den dazugehörigen verallgemeinerten Test auf Rationalität, Richtungsänderungstest. Anschließend wird ein Gesamtsieger mittels des multivariaten Mahalanobis-Distanzmaßes ermittelt. Dieser Ansatz untersucht mehrere Variablen gemeinsam auf ihre empirische Kohärenz. Die quantitative Prognosegüte ist sowohl über die Institute wie über die Variablen hinweg heterogen. Für die meisten berücksichtigten Aggregate - insbesondere für Wirtschaftswachstum (BIP) und Inflationsrate - und über die meisten Institute hinweg betrachtet ist auch eine Prognoseverbesserung gegenüber einer naiven Prognose darstellbar. Allerdings ist ein gewisses Problem mit der Prognosegüte von privaten Konsumausgaben sowie der Arbeitslosenquote sichtbar. Es gibt kaum Hinweise auf Verletzung des Rationalitätskriteriums für das BIP, die Inflationsrate, die Ausrüstungsinvestitionen, die Ein- und Ausfuhren sowie die Arbeitslosenquote. Schwierigkeiten bei den Wendepunktprognosen gibt es für die Inflationsrate, die Konsumausgaben des Staates und der privaten Haushalte, die Bauinvestitionen sowie die Arbeitslosenquote. Im Hinblick auf die Form der Verlustfunktion kann für die Wachstumsrate des BIP oder die Inflationsrate keine Asymmetrie diagnostiziert werden. Bei der multivariaten Prognosegüte ergeben sich überraschend deutliche Unterschiede bezüglich der kohärenten "Stories" zwischen den Instituten. Das IMK schneidet hier mit dem ifo Institut sowie dem IWH zusammen am besten ab. Alle Daten und Computerroutinen sind öffentlich verfügbar.

Suggested Citation

  • Ulrich Fritsche & Artur Tarassow, 2017. "Vergleichende Evaluation der Konjunkturprognosen des Instituts für Makroökonomie und Konjunkturforschung an der Hans-Böckler-Stiftung für den Zeitraum 2005-2014," IMK Studies 54-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    • Handle: RePEc:imk:studie:54-2017
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    References listed on IDEAS

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    Cited by:

    1. Müller, Karsten, 2020. "German forecasters' narratives: How informative are German business cycle forecast reports?," Working Papers 23, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    2. Döpke, Jörg & Fritsche, Ulrich & Waldhof, Gaby, 2017. "Theories, techniques and the formation of German business cycle forecasts. Evidence from a survey among professional forecasters," Working Papers 2, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    3. Döpke Jörg & Fritsche Ulrich & Waldhof Gabi, 2019. "Theories, Techniques and the Formation of German Business Cycle Forecasts : Evidence from a survey of professional forecasters," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(2), pages 203-241, April.
    4. Jörg Döpke & Ulrich Fritsche & Karsten Müller, 2018. "Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany," Macroeconomics and Finance Series 201803, University of Hamburg, Department of Socioeconomics.
    5. Döpke Jörg & Fritsche Ulrich & Waldhof Gabi, 2019. "Theories, Techniques and the Formation of German Business Cycle Forecasts : Evidence from a survey of professional forecasters," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(2), pages 203-241, April.

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