Conditional macroeconomic forecasts : disagreement, revisions and forecast errors / Alexander Glas, Katja Heinisch
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Conditional macroeconomic forecasts
Discovery
1759931071
URN
urn:nbn:de:gbv:3:2-137503
DOI
ISBN
ISSN
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Publication history
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [07. Juni 2021]
Content
1 Online-Ressource (III, 51 Seiten, 3,63 MB) : Diagramme
Edition
Language
eng
Comment
Abstract
Using data from the European Central Bank's Survey of Professional Forecasters, we analyse the role of ex-ante conditioning variables for macroeconomic forecasts. In particular, we test to which extent the heterogeneity, updating and ex-post performance of predictions for inflation, real GDP growth and the unemployment rate are related to assumptions about future oil prices, exchange rates, interest rates and wage growth. Our findings indicate that inflation forecasts are closely associated with oil price expectations, whereas expected interest rates are used primarily to predict output growth and unemployment. Expectations about exchange rates and wage growth also matter for macroeconomic forecasts, albeit less so than oil prices and interest rates. We show that survey participants can considerably improve forecast accuracy for macroeconomic outcomes by reducing prediction errors for external conditions. Our results contribute to a better understanding of the expectation formation process of experts.
Series
IWH-Diskussionspapiere ; 2021, no. 7 (June 2021) ppn:837399270