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Temporal Consistency of Forecasts and Data Releases
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|---|---|---|---|
| Download | WP22_07.pdf | 378.07 kB | Adobe PDF |
| Title: | Temporal Consistency of Forecasts and Data Releases | Authors: | Bürgi, Constantin; Ortiz, Julio L. | Permanent link: | http://hdl.handle.net/10197/12780 | Date: | 11-Feb-2022 | Online since: | 2022-02-28T16:58:26Z | Abstract: | We provide key insights on expectation formation based on the Bloomberg eco- nomic survey: around two thirds of professional forecasters provide GDP forecasts that are temporally consistent, meaning that quarterly forecasts add up to the annual. Temporally consistent forecasts are not more accurate than the inconsistent ones, but inconsistent ones might drive estimates of information frictions in some cases. For the overwhelming majority of consistent forecasts, annual GDP predictions almost imme- diately reflect the monthly GDP releases. These findings suggest that most forecasters make at least minor forecast updates after each data release. Indeed, the inattention rate is found to be between 3% and 6% at the quarterly frequency. | Type of material: | Working Paper | Publisher: | University College Dublin. School of Economics | Start page: | 1 | End page: | 14 | Series/Report no.: | UCD Centre for Economic Research Working Paper Series; WP2022/07 | Copyright (published version): | 2022 the Authors | Keywords: | Temporal forecast reconciliation; Temporal aggregation; Bloomberg survey; GDP; Forecast accuracy | JEL Codes: | E37 | Language: | en | Status of Item: | Not peer reviewed | This item is made available under a Creative Commons License: | https://creativecommons.org/licenses/by-nc-nd/3.0/ie/ |
| Appears in Collections: | Economics Working Papers & Policy Papers |
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