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Analyzing the relationships between survey forecasts for different variables and countries

  • Maritta Paloviita and Matti Viren

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

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    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.

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    File URL: http://www.ace-economics.fi/kuvat/dp76.pdf
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    Paper provided by Aboa Centre for Economics in its series Discussion Papers with number 76.

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    Length: 31
    Date of creation: Nov 2012
    Date of revision:
    Handle: RePEc:tkk:dpaper:dp76
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    1. Fabio Canova & Luca Gambetti, 2007. "Do expectations matter? The Great Moderation revisited," Economics Working Papers 1084, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2009.
    2. 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.
    3. Harald Uhlig, 2011. "Economics and Reality," Working Papers 2011-006, Becker Friedman Institute for Research In Economics.
    4. 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.
    5. 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.
    6. Isiklar, Gultekin & Lahiri, Kajal & Loungani, Prakash, 2006. "How quickly do forecasters incorporate news? Evidence from cross-country surveys," MPRA Paper 22065, University Library of Munich, Germany.
    7. 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, 02.
    8. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
    9. 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.
    10. Kajal Lahiri & Xuguang Sheng, 2008. "Measuring Forecast Uncertainty by Disagreement: The Missing Link," Ifo Working Paper Series Ifo Working Paper No. 60, Ifo Institute for Economic Research at the University of Munich.
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