Arbeitspapier
Forecast errors and the macroeconomy: a non-linear relationship?
The paper analyses the reasons for departures from strong rationality of German business cycle forecasts based on annual observations from 1963 to 2004. We rely on forecasts from the joint forecast of the so-called "six leading" forecasting institutions in Germany. We test for a non-linear relation between forecast errors and macroeconomic fundamentals and find evidence for such a non-linearity for inflation forecasts. Evidence from probit models further suggests that some macroeconomic fundamentals – especially monetary factors – correlate to large positive or negative forecast growth and inflation forecast errors.
- Sprache
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Englisch
- Erschienen in
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Series: DIW Discussion Papers ; No. 498
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Business Fluctuations; Cycles
Forecasting Models; Simulation Methods
Model Evaluation, Validation, and Selection
- Thema
-
forecast error evaluation
non-linearities
business cycles
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fritsche, Ulrich
Döpke, Jörg
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Fritsche, Ulrich
- Döpke, Jörg
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2005