How accurate are professional forecasts in Asia? Evidence from ten countries

Chen, Qiwei and Costantini, Mauro and Deschamps, Bruno (2016) How accurate are professional forecasts in Asia? Evidence from ten countries. International Journal of Forecasting, 32 (1). pp. 154-167. ISSN 0169-2070

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Abstract

This paper assesses the performances of professional GDP growth and inflation forecasts for ten Asian economies for the period 1995–2012. We evaluate the accuracy of the forecasts, and test for unbiasedness and efficiency. Our results show that (i) forecast errors are large for most of the countries, but there are big differences between countries; (ii) forecasts improve slowly as the forecast horizon shortens, which helps to explain the magnitudes of the forecast errors; (iii) GDP growth forecasts underreact to economic news but inflation forecasts are mostly efficient; (iv) the sizes of forecast biases vary widely between countries, with a tendency for inflation to be overestimated; and (v) forecasts have value in predicting the direction of change.

Item Type: Article
RIS ID: https://nottingham-repository.worktribe.com/output/776285
Keywords: Professional forecasts; Forecast efficiency; Forecast bias; Asia
Schools/Departments: University of Nottingham Ningbo China > Faculty of Business > Nottingham University Business School China
Identification Number: https://doi.org/10.1016/j.ijforecast.2015.05.004
Depositing User: QIU, Lulu
Date Deposited: 29 Jun 2018 08:35
Last Modified: 04 May 2020 17:37
URI: http://eprints.nottingham.ac.uk/id/eprint/52673

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