Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194020 
Year of Publication: 
2018
Series/Report no.: 
DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series No. 3/2018
Publisher: 
Hamburg University, Department Socioeconomics, Hamburg
Abstract: 
Based on a panel of annual data for 17 growth and inflation forecasts from 14 institutions for Germany, we analyse forecast accuracy for the periods before and after the Great Recession, including measures of directional change accuracy based on Receiver Operating Curves (ROC).We find only small differences on forecast accuracy between both time periods. We test whether the conditions for forecast rationality hold in both time periods. We document an increased crosssection variance of forecasts and a changed correlation between inflation and growth forecast errors after the crisis, which might hint to a changed forecaster behaviour. This is also supported by estimated loss functions before and after the crisis, which suggest a stronger incentive to avoid overestimations (growth) and underestimations (inflation) after the crisis. Estimating loss functions for a 10-year rolling window also reveal shifts in the level and direction of loss asymmetry and strengthens the impression of a changed forecaster behaviour after the Great Recession.
Subjects: 
Macroeconomic Forecasting
Forecast Error Evaluation
Germany
JEL: 
E32
E37
G11
Document Type: 
Working Paper

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