EconPapers    
Economics at your fingertips  
 

How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach

Yuying Sun, Shouyang Wang and Xun Zhang

Economic Modelling, 2018, vol. 68, issue C, 506-513

Abstract: Surveys, which are designed to collect data and include professional forecasts of macroeconomic variables, are of great interest to central banks and various institutions. The formal evaluation of such forecasts has attracted considerable attention in literature. However, empirical studies focusing on China are limited. This paper firstly proposes a new approach to test forecasts' accuracy and efficiency under asymmetric loss function by using a unique dataset from surveys conducted by the State Administration of Foreign Exchange in China. It is found that forecasters of the four macroeconomic variables (i.e., GDP growth rate, CPI, exports and imports) partially utilize new information and publicly available information under LINEX loss function when they update the forecasts, which are similar to those under quadratic loss function. Besides, a new finding in this paper is that over-smoothing hardly exists in the forecasts of GDP growth rate and CPI in China, which is different from the results in developed countries. Our findings suggest clear areas of opportunity to improve the accuracy of the forecasts, such as considering the negative autocorrelation found in forecast revisions of CPI.

Keywords: Forecast revisions; Macroeconomic forecast; Unbalanced three-dimensional panel data; Surveys; LINEX asymmetric loss function (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999316308872
Full text for ScienceDirect subscribers only

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:eee:ecmode:v:68:y:2018:i:c:p:506-513

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2018-06-23
Handle: RePEc:eee:ecmode:v:68:y:2018:i:c:p:506-513