A Real-time Density Forecast Evaluation of the ECB Survey of Professional Forecasters
Laura Coroneo (),
Fabrizio Iacone () and
Fabio Profumo ()
Discussion Papers from Department of Economics, University of York
We evaluate the real-time predictive ability of density forecasts from the European Central Bank’s Survey of Professional Forecasters (ECB SPF) using the Diebold and Mariano (1995) and West (1996) test. As the sample size for the ECB SPF is fairly small, we use fixed-b and fixed-m asymptotics to alleviate size distortions. We verify in an original Monte Carlo design that fixed-smoothing asymptotics delivers correctly sized tests in this framework. Empirical results indicate that ECB SPF density forecasts for unemployment and real GDP growth beat simple benchmarks at one-year horizon. ECB SPF density forecasts for inflation instead do not easily outperform simple benchmarks, as up to 2008 ECB SPF inflation expectations are close to the target. After 2008, we find that the predictive ability of the ECB SPF is more conspicuous for all variables, even though inflation expectations are still loosely anchored to the target.
Keywords: real-time density forecast evaluation; ECB SPF; Diebold-Mariano-West test; fixed-smoothing asymptotics (search for similar items in EconPapers)
JEL-codes: C12 C22 E17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-for and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.york.ac.uk/media/economics/documents/discussionpapers/2019/1914.pdf Main text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:19/14
Access Statistics for this paper
More papers in Discussion Papers from Department of Economics, University of York Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Paul Hodgson ().