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Author: Palle Schelde Andersen (deceased)
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
As central banks have moved towards a forward-looking implementation of monetary policy, the role of forecasts in the policy process has greatly increased. Against this background, this paper looks at the accuracy of forecasts and, more specifically, addresses the question whether forecasts of growth and inflation can be improved by including information from financial markets. The empirical work presented suggests that average forecast errors are not large enough to seriously undermine the basis for forward-looking monetary policies, except in periods of common shocks and at cyclical turning points. It also appears that unexpected changes in non-financial variables are the primary source of forecast errors. Nonetheless, for several countries, forecasts could also be improved by using the information contents of changes in the yield curve and of movements in exchange rates and other asset prices.
Author: Palle Schelde Andersen (deceased)
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
As central banks have moved towards a forward-looking implementation of monetary policy, the role of forecasts in the policy process has greatly increased. Against this background, this paper looks at the accuracy of forecasts and, more specifically, addresses the question whether forecasts of growth and inflation can be improved by including information from financial markets. The empirical work presented suggests that average forecast errors are not large enough to seriously undermine the basis for forward-looking monetary policies, except in periods of common shocks and at cyclical turning points. It also appears that unexpected changes in non-financial variables are the primary source of forecast errors. Nonetheless, for several countries, forecasts could also be improved by using the information contents of changes in the yield curve and of movements in exchange rates and other asset prices.
Author: Palle Schelde Andersen
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 64
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Book Description
Author: David F. Hendry
Publisher: MIT Press
ISBN: 9780262582421
Category : Business & Economics
Languages : en
Pages : 236
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Book Description
How to interpret and evaluate economic forecasts and the uncertainties inherent in them.
Author: Cheng F. Lee
Publisher: Center for PBBEFR & Airiti Press
ISBN: 9865663619
Category : Business & Economics
Languages : en
Pages :
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Book Description
Advances in Financial Planning and Froecasting (New Series) is an annual publication designed to disseminate developments in the area of financial analysis, planning, and forecasting. The publication is a froum for statistical, quantitative, and accounting analyses of issues in financial analysis and planning in terms of finance, accounting, and economic data.
Author: Theo S. Eicher
Publisher: International Monetary Fund
ISBN: 1484346815
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
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.
Author: Cheng-Few Lee
Publisher: Center for PBBEFR & Airiti Press
ISBN: 9868430763
Category : Business & Economics
Languages : en
Pages : 302
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Book Description
Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession. The papers in this volume cover a wide range of topics including corporate finance and debt management, earnings management, equity market, auditing, option pricing theory, and interest rate theory. In this volume there are eleven chapters, five of them are corporate finance and debt management: 1. Liquidity and Adverse Selection: Evidence from the Five-or-Fewer Rule Change; 2. Changing Business Environment and the Value of Relevance of Accounting Information; 3. Pricing Risky Securities in Hidden Markov-Modulated Poisson Processes; 4. An Empirical Assessment of Alternative Dividend Expectation Models; 5. Quantitative Market Risk Disclosure, Bond Default Risk and The Cost of Debt: Why Value At Risk? There are two of the other six chapters which cover interest rate theory: 1. Positive Interest Rates and Yields: Additional Serious Considerations; 2. Collapse of Dimensionality in the Interest Rate Term Structure. The remaining four chapters cover financial analysts earnings forecasts, equity market, auditing, and option pricing theory. These four papers are: 1. Investors’ Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Role of Share Price Scaling and Omitted Risk Factors; 2. Predicting Stock Price by Applying the Residual Income Model and Bayesian Statistics; 3. Intertemporal Associations Between Non-Audit Services and Auditors’ Tendency to Allow Discretionary Accruals; 4. Put Option Portfolio Insurance vs. Asset Allocation.
Author: N. Carnot
Publisher: Springer
ISBN: 0230306446
Category : Business & Economics
Languages : en
Pages : 516
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Book Description
Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting.
Author: Mr. Yan Carriere-Swallow
Publisher: International Monetary Fund
ISBN: 1616356391
Category : Business & Economics
Languages : en
Pages : 22
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Book Description
We analyze the causes of the apparent bias towards optimism in growth forecasts underpinning the design of IMF-supported programs, which has been documented in the literature. We find that financial variables observable to forecasters are strong predictors of growth forecast errors. The greater the expansion of the credit-to-GDP gap in the years preceding a program, the greater its over-optimism about growth over the next two years. This result is strongest among forecasts that were most optimistic, where errors are also increasing in the economy’s degree of liability dollarization. We find that the inefficient use of financial information applies to growth forecasts more broadly, including the IMF’s forecasts in the World Economic Outlook and those produced by professional forecasters compiled by Consensus Economics. We conclude that improved macrofinancial analysis represents a promising avenue for reducing over-optimism in growth forecasts.
Author:
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 0
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Book Description
"Extreme volatility during the global financial crisis complicated economic forecasting, leading to large errors that underline the need for better modelling methods and new approaches for making and presenting projections, according to this OECD report. Main findings of this report: i) GDP growth was overestimated on average across 2007-12, reflecting not only errors at the height of the financial crisis but also errors in the subsequent recovery; ii) Forecast errors were larger in countries that are more open to external developments and hence exposed to shocks from other economies; iii) Larger forecast errors over 2007-12 have occurred in countries with more stringent pre-crisis labour and product market regulations; iv) Growth in the recovery has been weaker relative to predictions in countries in which banks had low capital ratios pre-crisis; v) Stronger projected fiscal consolidation has been associated with weaker-than-projected growth, but this conclusion holds only in some years, and only when Greece is included; vi) The forecasting experience in the wake of the crisis has led to a number of changes in forecasting procedures and communication - in the OECD as well as in other forecasting institutions."-
Author: Peter Tulip
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 54
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Book Description
Several researchers have recently documented a large reduction in output volatility. In contrast, this paper examines whether output has become more predictable. Using forecasts from the Federal Reserve Greenbooks, the author finds evidence somewhat mixed. Output seems to have become more predictable at short horizons, but not necessarily at longer horizons. The reduction in unpredictability is much less than the reduction in volatility. Associated with this, recent forecasts had little predictive power.
