Polish GDP forecast errors: a tale of inefficiency

Jakub Rybacki

Bank i Kredyt, 2021, vol. 52, issue 2, 123-142

Abstract: The aim of this paper is to evaluate gross domestic product (GDP) forecast errors of Polish professional forecasters based on the individual data from the Rzeczpospolita daily newspaper. This dataset contains predictions obtained from forecasting competitions during the years 2013–2019 in Poland. Our analysis shows a lack of statistical efficiency of these predictions. First, there is a systemic negative bias, which is especially strong during the years 2016–2019. Second, the forecasters failed to correctly predict the effects of major changes in fiscal policy. Third, there is evidence of strategic behaviour; for example, the forecasters tended to revise their estimates too frequently and too excessively. We also document herding behaviour, i.e. an alignment of the most extreme forecasts towards market consensus with time, and an overly strong reliance on forecasts from NBP inflation projections in cases of estimates for longer horizons.

Keywords: GDP; forecasting (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:52:i:2:p:123-142

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