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Analyzing the relationships between survey forecasts for different variables and countries

Author

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  • Maritta Paloviita and Matti Viren

    (Bank of Finland
    Department of Economics, Turku School of Economics, 20014 University of Turku, Finland)

Abstract

This paper evaluates the quality of survey forecasts, their accuracy and unbiasedness, and their overall consistency. The paper also tries to find out whether the relationships between economic variables are the same in survey data and in the actual data. In other words we analyze whether the data generating mechanisms of forecast values and actual data coincide. The analysis deals with three countries/economic areas: the Euro Area, Japan and the US and makes use of different surveys and data frequencies. Since the results are somewhat blurred by the recent 2008-2010 financial crisis thus inclusion of the crisis period makes a lot of difference in main results. Even so, we find that the basic features of the data have quite few alarming features. Different surveys come quite close to each other and results for different countries/economic areas are reasonably similar. It is only that we find some evidence that the relationships between economic variables in the survey data are different from actual data. Moreover, we find that forecast errors are quite closely related to dispersion of survey respondents’ forecasts. Thus, increased forecast uncertainty seems to be positively related to size of forecast errors.

Suggested Citation

  • Maritta Paloviita and Matti Viren, 2012. "Analyzing the relationships between survey forecasts for different variables and countries," Discussion Papers 76, Aboa Centre for Economics.
  • Handle: RePEc:tkk:dpaper:dp76
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    File URL: http://www.ace-economics.fi/kuvat/dp76.pdf
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    References listed on IDEAS

    as
    1. Kortelainen, Mika & Paloviita, Maritta & Viren, Matti, 2011. "Observed inflation forecasts and the new Keynesian macro model," Economics Letters, Elsevier, vol. 112(1), pages 88-90, July.
    2. Kajal Lahiri & Gultekin Isiklar & Prakash Loungani, 2006. "How quickly do forecasters incorporate news? Evidence from cross-country surveys," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 703-725.
    3. Jonas Dovern & Ulrich Fritsche & Jiri Slacalek, 2012. "Disagreement Among Forecasters in G7 Countries," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1081-1096, November.
    4. Uhlig, Harald, 2012. "Economics and reality," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 29-41.
    5. Fabio Canova & Luca Gambetti, 2010. "Do Expectations Matter? The Great Moderation Revisited," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 183-205, July.
    6. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
    7. Dopke, Jorg & Fritsche, Ulrich, 2006. "When do forecasters disagree? An assessment of German growth and inflation forecast dispersion," International Journal of Forecasting, Elsevier, vol. 22(1), pages 125-135.
    8. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, February.
    9. Stefan Gerlach, 2007. "Interest Rate Setting by the ECB, 1999-2006: Words and Deeds," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 1-46, September.
    10. Kajal Lahiri & Xuguang Sheng, 2010. "Measuring forecast uncertainty by disagreement: The missing link," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 514-538.
    11. Paloviita, Maritta & Virén, Matti, 2005. "The role of expectations in the inflation process in the euro area," Research Discussion Papers 6/2005, Bank of Finland.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Forecasting; Survey data; Phillips curve; Expectations;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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