Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys

Yin-Wong Cheung and Menzie Chinn

No 6926, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of expectations with respect to the actual series. We also examine whether forecasts respond to error correction terms. Tests are applied to both final and preliminary versions of the data. We find that the Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate bond rate, GNP, the GNP deflator, unemployment and their forecasts are difference stationary. About half of the these pairs are cointegrated, with the unitary elasticity restriction seldom rejected. Similar results are obtained when using the originally-reported data.

JEL-codes: C53 E17 (search for similar items in EconPapers)
Date: 1999-02
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: EFG
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Citations: View citations in EconPapers (4)

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