Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83740
Authors: 
Capistrán, Carlos
López-Moctezuma, Gabriel
Year of Publication: 
2008
Series/Report no.: 
Working Papers, Banco de México 2008-11
Abstract (Translated): 
This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Specialists in Economics from the Private Sector, maintained by Banco de M'exico. The study concentrates on the mean across forecasters for the period from January 1995 to April 2008. The study evaluates the efficiency in the use of information and the relative performance using as benchmarks forecasts from time series models and from other macroeconomic variables. Inflation, interest rate, and GDP expectations seem to incorporate information in a relatively efficient manner. These forecasts appear to be better, in mean squared error terms, than the benchmark forecasts, except for the case of one-yearahead inflation. In addition, exchange rate forecasts do not seem to optimally incorporate available information and do not seem to improve upon forecasts obtained from a random walk model.
Subjects: 
Predictive ability
Rational expectations
Rolling-forecasts
JEL: 
C22
C53
E17
E37
E47
F37
Document Type: 
Working Paper
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