Are government and IMF forecasts useful? An application of a new market-timing test

Yoichi Tsuchiya

Economics Letters, 2013, vol. 118, issue 1, 118-120

Abstract: We investigate the directional accuracy of GDP and price forecasts by the Japanese government and the IMF with a new method developed by Pesaran and Timmermann [Pesaran, M.H., Timmermann, A., 2009. Testing dependence among serially correlated multi-category variables. Journal of the American Statistical Association 485, 325–337]. Extending the literature to government forecasts, our results illustrate an empirical application of the new test. Our findings provide positive evidence about the usefulness of IMF forecasts whereas they cast doubts about government forecasts.

Keywords: Macroeconomic forecast; Directional analysis; Market timing test; Forecast evaluation (search for similar items in EconPapers)
JEL-codes: C5 E1 E3 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:118-120

DOI: 10.1016/j.econlet.2012.10.005

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