Experts' Macroeconomics Expectations: An Evaluation of Mexican Short-Run Forecasts

Carlos Capistrán (capistran.carlos@gmail.com) and López Moctezuma Gabriel

No 2008-11, Working Papers from Banco de México

Abstract: This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Specialists in Economics from the Private Sector, maintained by Banco de México. The study concentrates on the mean across forecasters for the period from January 1995 to April 2008. The study evaluates the efficiency in the use of information and the relative performance using as benchmarks forecasts from time series models and from other macroeconomic variables. Inflation, interest rate, and GDP expectations seem to incorporate information in a relatively efficient manner. These forecasts appear to be better, in mean squared error terms, than the benchmark forecasts, except for the case of one-year-ahead inflation. In addition, exchange rate forecasts do not seem to optimally incorporate available information and do not seem to improve upon forecasts obtained from a random walk model.

JEL-codes: C22 C53 E17 E37 E47 F37 (search for similar items in EconPapers)
Date: 2008-08
New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2008-11

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