analyse de la conjoncture
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Analyse de la conjoncture
Balazs EGERT
OECD and UPX
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• Cours en ligne• Password: CAC40•
If not working, mail me [email protected]
•
This is the last course
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PapersVogel, L. 2007, How do the OECD growth projections for the
G7 economies perform? A post-mortem , OECD EconomicsDepartment Working Paper No. 33.
Loungani, P., 2000, How accurate are private sectorforecasts? Cross-country evidence from consensus
forecasts of output growth , IMF Working Paper No. 77.Jonung L. and M. Larch, 2004, Improving fiscal policy in the
EU: the case for independent forecasts , EuropeanCommission, European Economy Economic Papers No. 210
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OECD growth projections
Twice a year – spring, and autumnSpring: current year + next yearAutumn: current year + next year
Assumptions- constant exchange rate
- constant/trending oil prices- fiscal policy: legislated measures- monetary policy: maintaining price stability
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OECD growth projections G7 countries
No bias for current year, but + bias for nextyear
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Biasedness
Unbiasedness: no systematic mistakes of expectationswith regard to the realisation of the variableconsidered.
Null of unbiasednessAlternative of biasedness
OR
t t t t X X )(1
10:0 and H
10:1
and H
t t t t X X )(1
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Biasedness
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Projection errors are smaller at shorter horizons
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Forecast accuracyMean squared error (MSE) = (∑fe²)/N
- quadratic loss function: useful if large forecast errors aredisproportionately more important than small forecast errors.- But in the presence of outliers or if large forecast error areequally important than small forecast error, mean absoluteerror are preferable f
Root mean squared error (RMSE) = √(∑fe²)/N
Mean absolute error (MAE) = (∑IfeI)/N
Mean absolute percentage error (MAPE) = (∑Ife/xI)/N
Forecast direction accuracy (FDA) : % of how often the direction
of change is forecast appropriately
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Directional accuracy is high
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Current-year projections capture turning points,but not one-year-ahead projections
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Private sector forecasts: Consensusforecasts
Accuracy of forecasts:
- Mean Absolute Error (MAE)- Root Mean Square Error (RMSE)
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Private sector forecasts: Consensusforecasts
Accuracy of forecasts:
- Mean Absolute Error (MAE)- Root Mean Square Error (RMSE)
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Forecasting recessions
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Forecasting recessions
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Forecasting efficiency
Weak form of efficiency: forecast errors cannot beexplained by past information
Null of efficiency
Alternative
t
n
i
it it t t X X X 1
1 )(
0...: 210 n H
0...: 211 n H
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Forecasting bias
Unbiasedness: no systematic mistakes of expectationswith regard to the realisation of the variableconsidered.
Null of unbiasednessAlternative of biasedness
t t t t X X )(1
10:0 and H
10:1
and H
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Forecasting bias
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Comparing Consensus forecasts with IMFWorld Economic Outlook forecasts
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Comparing Consensus forecasts with WorldBank forecasts
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Forecast accuracy of government GDPprojections
Accuracy of official growth forecasts:
Prediction errors for growth regressed ona constant term
- Unbiasedness if constant is not significant- Otherwise, the constant shows the extent
of the bias
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Objective: detecting turning points in
economic activity using monthly serieswhich
• measure early stages of production,• respond rapidly to changes in economic activity,• are sensitive to expectations of future activity or• are control variables that measure policy stance.