New Paper availableHas Macroeconomic Forecasting Changed after the Great Recession?Panel-based Evidence on Forecast Accuracy and Forecaster Behavior from Germany
26. Juli 2019
It is our pleasure to announce the availability of a new paper written by Ulrich Fritsche jointly with Jörg Döpke and Karsten Müller:
Has Macroeconomic Forecasting Changed after the Great Recession?
Panel-based Evidence on Forecast Accuracy and Forecaster Behavior from Germany
They analyse the forecast accuracy for the periods before and after the Great Recession using a panel of annual data for 17 growth and inflation forecasts from 14 German institutions.
Only small differences in the quantitative accuracy measures between the two periods are found.
The qualitative measures of forecast accuracy have slightly worsened and forecasters’ behavior has changed after the crisis.
Errors in predicting directional change, however, have changed significantly between the two periods under investigation. Tests for the efficiency of the forecasts over the entire sample indicate that growth and inflation forecasts are inefficient.
The researchers find a changed correlation between forecast errors of inflation and growth after the crisis, which might hint at a changed forecaster behavior. The estimated loss functions before and after the crisis support this interpretation, suggesting a stronger incentive to avoid overestimation of growth and underestimation of inflation after the crisis.
Estimating loss functions for a 10-year rolling window also reveal shifts in the level and direction of loss asymmetry.
Please finde the whole paper under this link.