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Evaluating the conditionality of judgmental forecasts

Travis J. Berge, Andrew C. Chang and Nitish R. Sinha

International Journal of Forecasting, 2019, vol. 35, issue 4, 1627-1635

Abstract: We propose a framework for evaluating the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are incorporated faithfully into the remainder of the forecast. We consider whether the Greenbook, Blue Chip survey and Survey of Professional Forecasters exhibit systematic biases in the manner in which they incorporate interest rate projections into the forecasts of other macroeconomic variables. We do not find strong evidence of systematic biases in the three economic forecasts that we consider, as the interest rate projections in these forecasts appear to be incorporated efficiently into the forecasts of other economic variables.

Keywords: Forecast efficiency; Macroeconomic forecast; Conditional forecast; Tealbook forecast; Survey of Professional Forecasters; Blue Chip survey (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.ijforecast.2019.03.026

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Handle: RePEc:eee:intfor:v:35:y:2019:i:4:p:1627-1635