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Title:Are they really rational? : Assessing professional macro-economic forecasts from the G7-countries PDF Logo
Authors:Dovern, Jonas
Weisser, Johannes
Issue Date:2008
Citation:[Series:] Kiel working paper [No.:] 1447 [Editor:] Kiel Inst. for the World Economy, Kiel
Series/Report no.:Kiel working paper 1447
Abstract:In this paper, we use survey data to analyze the rationality of professional macroeconomic forecasts. We analyze both individual forecasts and average forecasts. We provide evidence on the properties of forecasts for all the G7-counties and four different macroeconomic variables. Furthermore, we present a modification to the structural model which is commonly used to model the forecast errors of fixed event forecasts in the literature. Our results confirm that average forecasts should be used with caution, since even if all individual forecasts are rational the hypothesis of rationality is often rejected by the aggregate forecasts. We find that there are not only large differences in the performance of forecasters across countries but also across different macroeconomic variables; in general, forecasts tend to be biased in situations where forecasters have to learn about large structural shocks or gradual changes in the trend of a variable.
Subjects:Evaluating forecasts
macroeconomic forecasting
rationality
survey data
fixed-event forecasts
JEL:C25
E32
E37
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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