Accuracy and Properties of German Business Cycle Forecasts


Osterloh, Steffen


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URL: http://ub-madoc.bib.uni-mannheim.de/1473
URN: urn:nbn:de:bsz:180-madoc-14735
Document Type: Working paper
Year of publication: 2006
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C52 E32 E37 ,
Subject headings (SWD): Konjunkturprognose , Genauigkeit , Eigenschaft , Prognosequalität , Deutschland
Keywords (English): business cycle forecasting , forecast evaluation , Consensus forecasts
Abstract: In this paper the accuracy of a wide range of German business cycle forecasters is assessed for the past 10 years. For this purpose, a data set is used comprising forecasts published on a monthly basis by Consensus Economics. The application of several descriptive as well as statistical measures reveals that the accuracy of the 2-years forecasts is low relative to a simple naïve forecast. This observation can mainly be explained by a systematic overestimation of the growth rates by the forecasters. Moreover, the lack of accuracy can also be explained partly by insufficient information efficiency as well as imitation behaviour. Finally, it is shown that notwithstanding the common errors which affected the accuracy of all forecasters mainly because of their systematic overestimation, they differ significantly in their forecast accuracy.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Osterloh, Steffen (2006) Accuracy and Properties of German Business Cycle Forecasts. Open Access [Working paper]
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