Are government and IMF forecasts useful? An application of a new market-timing test

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7 Citations (Scopus)

Abstract

We investigate the directional accuracy of GDP and price forecasts by the Japanese government and the IMF with a new method developed by Pesaran and Timmermann [Pesaran, M.H., Timmermann, A., 2009. Testing dependence among serially correlated multi-category variables. Journal of the American Statistical Association 485, 325-337]. Extending the literature to government forecasts, our results illustrate an empirical application of the new test. Our findings provide positive evidence about the usefulness of IMF forecasts whereas they cast doubts about government forecasts.

Original languageEnglish
Pages (from-to)118-120
Number of pages3
JournalEconomics Letters
Volume118
Issue number1
DOIs
Publication statusPublished - 2013 Jan 1
Externally publishedYes

Keywords

  • Directional analysis
  • Forecast evaluation
  • Macroeconomic forecast
  • Market timing test

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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