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.
|Date of creation:||11 Feb 2009|
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References listed on IDEAS
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- Ricardo Mestre & Peter McAdam, 2011.
"Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 30(3), pages 303-324, April.
- 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.
- Markus Leibrecht & Martin Schneider, 2006. "AQM-06: The Macro economic Model of the OeNB," Working Papers 132, Oesterreichische Nationalbank (Austrian Central Bank).
- 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.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, January.
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- Allan Timmermann, 2007. "An Evaluation of the World Economic Outlook Forecasts," IMF Staff Papers, Palgrave Macmillan, vol. 54(1), pages 1-33, May.
- Allan Timmermann, 2006. "An Evaluation of the World Economic Outlook Forecasts," IMF Working Papers 06/59, International Monetary Fund.
- Andrew Filardo, 2004. "The 2001 US recession: what did recession prediction models tell us?," BIS Working Papers 148, Bank for International Settlements.
- Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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