Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany
Jörg Döpke (),
Ulrich Fritsche and
Karsten Müller ()
Additional contact information
Jörg Döpke: Hochschule Merseburg (University of Applied Sciences Merseburg)
Karsten Müller: Hochschule Merseburg (University of Applied Sciences Merseburg)
No 201803, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics
Abstract:
Based on a panel of annual data for 17 growth and inflation forecasts from 14 institutions for Germany, we analyse forecast accuracy for the periods before and after the Great Recession, including measures of directional change accuracy based on Receiver Operating Curves (ROC). We find only small differences on forecast accuracy between both time periods. We test whether the conditions for forecast rationality hold in both time periods. We document an increased cross-sectional variance of forecasts and a changed correlation between inflation and growth forecast errors after the crisis, which might hint to changed forecaster behaviour. This is also supported by estimated loss functions before and after the crisis, which suggest a stronger incentive to avoid overestimations (growth) and underestimations (inflation) after the crisis. Estimating loss functions for a 10-year rolling window also reveals shifts in the level and direction of loss asymmetry and strengthens the impression of a changed forecaster behaviour after the Great Recession.
Keywords: Macroeconomic Forecasting; Forecast Error Evaluation; Germany (search for similar items in EconPapers)
JEL-codes: E32 E37 G11 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2018-05
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_3_2018.pdf First version, 2018 (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:201803
Access Statistics for this paper
More papers in Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics Contact information at EDIRC.
Bibliographic data for series maintained by Ulrich Fritsche ( this e-mail address is bad, please contact ).