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Why did we fail to predict GDP during the last cycle? A breakdown of forecast errors for Austria

This paper proposes an informal taxonomy to break down forecast errors of institutional forecasts. This breakdown is demonstrated for the forecasts of the Oesterreichische Nationalbank (OeNB) for Austrian GDP. The main result is that the largest part of the forecast errors can be explained by erroneous projections of the international environment. Data revisions also substantially contribute to the forecasting error for the forecast of the current year. Domestic exogenous variables play a minor role only. The inclusion of judgement improves the forecasting performance.

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File URL: http://www.oenb.at/dms/oenb/Publikationen/Volkswirtschaft/Working-Papers/2009/Working-Paper-151/fullversion/wp151_tcm16-97772.pdf
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Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 151.

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Length: 21
Date of creation: 11 Feb 2009
Date of revision:
Handle: RePEc:onb:oenbwp:151
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  1. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, June.
  2. Mestre, Ricardo & McAdam, Peter, 2008. "Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts," Working Paper Series 0950, European Central Bank.
  3. Markus Leibrecht & Martin Schneider, 2006. "AQM-06: The Macro economic Model of the OeNB," Working Papers 132, Oesterreichische Nationalbank (Austrian Central Bank).
  4. Andrew Filardo, 2004. "The 2001 US recession: what did recession prediction models tell us?," BIS Working Papers 148, Bank for International Settlements.
  5. Lupi, Claudio & Peracchi, Franco, 2003. "The limits of statistical information: How important are GDP revisions in Italy?," Economics & Statistics Discussion Papers esdp03005, University of Molise, Dept. EGSeI.
  6. repec:cup:cbooks:9780521634809 is not listed on IDEAS
  7. Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 0622, European Central Bank.
  8. Allan Timmermann, 2007. "An Evaluation of the World Economic Outlook Forecasts," IMF Staff Papers, Palgrave Macmillan, vol. 54(1), pages 1-33, May.
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