 Conditional macroeconomic survey forecasts: Revisions and errorsAlexander Glas and Katja Heinisch Journal of International Money and Finance, 2023, vol. 138, issue C Abstract: Using data from the European Central Bank's Survey of Professional Forecasters and ECB/Eurosystem staff projections, we analyze the role of ex-ante conditioning variables for macroeconomic forecasts. In particular, we test to which extent the updating and ex-post performance of predictions for inflation, real GDP growth and unemployment are related to beliefs about future oil prices, exchange rates, interest rates and wage growth. While oil price and exchange rate predictions are updated more frequently than macroeconomic forecasts, the opposite is true for interest rate and wage growth expectations. Beliefs about future inflation are closely associated with oil price expectations, whereas expected interest rates are related to predictions of output growth and unemployment. Exchange rate predictions also matter for macroeconomic forecasts, albeit less so than the other variables. With regard to forecast errors, wage growth and GDP growth closely comove, but only during the period when interest rates are at the effective zero lower bound. Keywords: Survey forecasts; Assumptions; Revisions; Forecast accuracy (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:138:y:2023:i:c:s0261560623001286 DOI: 10.1016/j.jimonfin.2023.102927 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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