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

Yoichi Tsuchiya

doi:10.1016/j.econlet.2012.10.005

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

Yoichi Tsuchiya

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	118-120
Number of pages	3
Journal	Economics Letters
Volume	118
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2012.10.005
Publication status	Published - 2013 Jan 1
Externally published	Yes

Keywords

Directional analysis
Forecast evaluation
Macroeconomic forecast
Market timing test

ASJC Scopus subject areas

Finance
Economics and Econometrics

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AB - 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.

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KW - Macroeconomic forecast

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