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Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys

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  • Yin-Wong Cheung
  • Menzie D. Chinn

Abstract

We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of expectations with respect to the actual series. We also examine whether forecasts respond to error correction terms. Tests are applied to both final and preliminary versions of the data. We find that the Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate bond rate, GNP, the GNP deflator, unemployment and their forecasts are difference stationary. About half of the these pairs are cointegrated, with the unitary elasticity restriction seldom rejected. Similar results are obtained when using the originally-reported data.

Suggested Citation

  • Yin-Wong Cheung & Menzie D. Chinn, 1999. "Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys," NBER Working Papers 6926, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:6926
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    Cited by:

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    2. Gerberding, Christina, 2001. "The information content of survey data on expected price developments for monetary policy," Discussion Paper Series 1: Economic Studies 2001,09, Deutsche Bundesbank.
    3. Elliott, Graham & Jansson, Michael & Pesavento, Elena, 2004. "Optimal Power for Testing Potential Cointegrating Vectors with Known," University of California at San Diego, Economics Working Paper Series qt2bv7n071, Department of Economics, UC San Diego.
    4. Krekó, Judit & Vonnák, Balázs, 2003. "Makroelemzők inflációs várakozásai Magyarországon [The inflationary expectations of macro analysts in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 315-334.

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    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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