International organisations’ vs. private analysts’ forecasts: an evaluation

This paper evaluates the performance of the macroeconomic forecasts disclosed by three leading international organisations - the IMF, the European Commission and the OECD - and compares it with that of the mean forecasts of two surveys of private analysts - the Consensus Economics and The Economist. The publication of forecasts twice a year by international organisations always receives a great deal of public attention but the timely forecasts disclosed monthly by private institutions have been gaining increased visibility. The aim of this work is to help forecast users in answering the question of how much (little) confidence they should place in the alternative forecasts that are available at each moment. The evaluation covers real GDP growth and inflation projections for nine main advanced economies, over the period 1991-2009. Several evaluation criteria are used. The quantitative accuracy of forecasts is assessed and their unbiasedness and efficiency is tested. The directional accuracy of forecasts and the ability to predict economic recessions are also examined. The results suggest that the forecasting performance of the international organisations is broadly similar to that of the surveys of private analysts. By and large, current-year forecasts present desirable features and clearly outperform year-ahead forecasts for which evidence is more mixed both in terms of quantitative and qualitative accuracy.