Forecast Errors And Uncertainty Shocks
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Forecast Errors And Uncertainty Shocks
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Author : Sylwia Nowak
language : en
Publisher: International Monetary Fund
Release Date : 2016-11-17
Forecast Errors And Uncertainty Shocks written by Sylwia Nowak and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-17 with Business & Economics categories.
Macroeconomic forecasts are persistently too optimistic. This paper finds that common factors related to general uncertainty about U.S. macrofinancial prospects and global demand drive this overoptimism. These common factors matter most for advanced economies and G- 20 countries. The results suggest that an increase in uncertainty-driven overoptimism has dampening effects on next-year real GDP growth rates. This implies that incorporating the common structure governing forecast errors across countries can help improve subsequent forecasts.
On Persistence Of Uncertainty Shocks
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Author : Sergey Egiev
language : en
Publisher:
Release Date : 2016
On Persistence Of Uncertainty Shocks written by Sergey Egiev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Measuring Global And Country Specific Uncertainty
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Author : Ezgi O. Ozturk
language : en
Publisher: International Monetary Fund
Release Date : 2017-10-30
Measuring Global And Country Specific Uncertainty written by Ezgi O. Ozturk and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-30 with Business & Economics categories.
Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global uncertainty as the weighted average of country-specific uncertainties. Our measure captures perceived uncertainty of market participants and derives from two components that are shown to exhibit strikingly different behavior. Common uncertainty shocks produce the large and persistent negative response in real economic activity, whereas the contributions of idiosyncratic uncertainty shocks are negligible.
Forecasts In Times Of Crises
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Author : Theo S. Eicher
language : en
Publisher: International Monetary Fund
Release Date : 2018-03-09
Forecasts In Times Of Crises written by Theo S. Eicher and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-09 with Business & Economics categories.
Financial crises pose unique challenges for forecast accuracy. Using the IMF’s Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises. We examine 29 macroeconomic variables in terms of bias, efficiency, and information content to find that IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of nominal GDP, public investment, private investment, the current account, net transfers, and government expenditures) exhibit significant forecast bias. Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality. When we decompose the forecast errors into their sources, we find that forecast errors for private consumption growth are the key contributor to GDP growth forecast errors. Similarly, forecast errors for non-interest expenditure growth and tax revenue growth are crucial determinants of the forecast errors in the growth of fiscal budgets. Forecast errors for balance of payments growth are significantly influenced by forecast errors in goods import growth. The results highlight which macroeconomic aggregates require further attention in future forecast models for countries in crises.
Predictable Uncertainty In Economic Forecasting
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Author : Neil R. Ericsson
language : en
Publisher:
Release Date : 2000
Predictable Uncertainty In Economic Forecasting written by Neil R. Ericsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Economic forecasting categories.
This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple-equation models. Empirical models of the U.S. trade account, U.K. inflation, and U.K. real national income help clarify the issues involved.
Efficient Estimation Of Forecast Uncertainty Based On Recent Forecast Errors
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Author : Malte Knüppel
language : en
Publisher:
Release Date : 2009
Efficient Estimation Of Forecast Uncertainty Based On Recent Forecast Errors written by Malte Knüppel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Forecasting In The Presence Of Structural Breaks And Model Uncertainty
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Author : David E. Rapach
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-02-29
Forecasting In The Presence Of Structural Breaks And Model Uncertainty written by David E. Rapach and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-29 with Business & Economics categories.
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Forecasting
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Author : Jennifer Castle
language : en
Publisher: Yale University Press
Release Date : 2019-06-11
Forecasting written by Jennifer Castle and has been published by Yale University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-11 with Economic forecasting categories.
Concise, engaging, and highly intuitive--this accessible guide equips you with an understanding of all the basic principles of forecasting Making accurate predictions about the economy has always been difficult, as F. A. Hayek noted when accepting his Nobel Prize in economics, but today forecasters have to contend with increasing complexity and unpredictable feedback loops. In this accessible and engaging guide, David Hendry, Michael Clements, and Jennifer Castle provide a concise and highly intuitive overview of the process and problems of forecasting. They explain forecasting concepts including how to evaluate forecasts, how to respond to forecast failures, and the challenges of forecasting accurately in a rapidly changing world. Topics covered include: What is a forecast? How are forecasts judged? And how can forecast failure be avoided? Concepts are illustrated using real-world examples including financial crises, the uncertainty of Brexit, and the Federal Reserve's record on forecasting. This is an ideal introduction for university students studying forecasting, practitioners new to the field and for general readers interested in how economists forecast.
Measuring Forecast Uncertainty By Disagreement
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Author : Kajal Lahiri
language : en
Publisher:
Release Date : 2008
Measuring Forecast Uncertainty By Disagreement written by Kajal Lahiri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Using a standard decomposition of forecasts errors into common and idiosyncratic shocks, we show that aggregate forecast uncertainty can be expressed as the disagreement among the forecasters plus the perceived variability of future aggregate shocks. Thus, the reliability of disagreement as a proxy for uncertainty will be determined by the stability of the forecasting environment, and the length of the forecast horizon. Using density forecasts from the Survey of Professional Forecasters, we find direct evidence in support of our hypothesis. Our results support the use of GARCH-type models, rather than the ex post squared errors in consensus forecasts, to estimate the ex ante variability of aggregate shocks as a component of aggregate uncertainty.
Gauging The Uncertainty Of The Economic Outlook From Historical Forecasting Errors
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Author : David Reifschneider
language : en
Publisher:
Release Date : 2007
Gauging The Uncertainty Of The Economic Outlook From Historical Forecasting Errors written by David Reifschneider and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Economic forecasting categories.