An evaluation of New Zealand macroeconomic survey forecasts

Hamid Baghestani and Ilker Kaya

New Zealand Economic Papers, 2013, vol. 47, issue 3, 324-335

Abstract: In evaluating the one-year-ahead survey forecasts of key indicators for New Zealand, this study tests rationality under flexible loss to allow for the possibility of an asymmetric loss associated with forecast errors. For 1988--2011, the consensus forecasts of inflation, output growth, and interest rate are rational (efficient) under symmetric loss, out-perform the na�ve benchmark, and are directionally accurate. In contrast, the consensus forecasts of unemployment and exchange rates are not of value since, while efficient, they are not directionally accurate and fail to out-perform the na�ve benchmark. Utilizing actual and survey data, we have formulated a model to forecast the unemployment rate. Comparable unemployment forecasts from this model are superior to the survey forecasts for 2000--2011. As the final step, we examine the accuracy of individual forecasters. Our findings reveal both differences and similarities between the consensus and individual forecasts in terms of rationality and other accuracy measures.

Date: 2013
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DOI: 10.1080/00779954.2012.726400

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