Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83720
Authors: 
Capistrán, Carlos
López-Moctezuma, Gabriel
Year of Publication: 
2010
Series/Report no.: 
Working Papers, Banco de México 2010-11
Abstract: 
We analyze forecasts of inflation and GDP growth contained in Banco de México's Survey of Professional Forecasters for the period 1995-2009. The forecasts are for the current and the following year, comprising an unbalanced three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The fixed-event nature of the forecasts enables us to examine efficiency by looking at the revision process. The panel structure allows us to control for aggregate shocks and to construct a measure of the news that impacted expectations in the period under study. The results suggest that respondents seem to rely for longer than appears to be optimal on their previous forecasts, and that they do not seem to use past information in an efficient manner. In turn, this means there are areas of opportunity to improve the accuracy of the forecasts, for instance, by taking into account the positive autocorrelation found in forecast revisions.
Subjects: 
Evaluating forecasts
Inflation forecasting
Macroeconomic forecasting
Panel data
Surveys
JEL: 
C23
C53
C83
E37
Document Type: 
Working Paper
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