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Title:Forecast errors and the macroeconomy: a non-linear relationship? PDF Logo
Authors:Fritsche, Ulrich
Döpke, Jörg
Issue Date:2005
Series/Report no.:DIW-Diskussionspapiere 498
Abstract:The paper analyses the reasons for departures from strong rationality of German business cycle forecasts based on annual observations from 1963 to 2004. We rely on forecasts from the joint forecast of the so-called "six leading" forecasting institutions in Germany. We test for a non-linear relation between forecast errors and macroeconomic fundamentals and find evidence for such a non-linearity for inflation forecasts. Evidence from probit models further suggests that some macroeconomic fundamentals – especially monetary factors – correlate to large positive or negative forecast growth and inflation forecast errors.
Subjects:forecast error evaluation
non-linearities
business cycles
JEL:E37
E32
C53
C52
Document Type:Working Paper
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des DIW

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