analyse de la conjoncture

8/10/2019 Analyse de La Conjoncture

http://slidepdf.com/reader/full/analyse-de-la-conjoncture 1/27

Analyse de la conjoncture

Balazs EGERT

OECD and UPX



• Cours en ligne• Password: CAC40•

If not working, mail me [email protected]

•

This is the last course

mailto:[email protected]

mailto:[email protected]



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



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



OECD growth projections G7 countries

No bias for current year, but + bias for nextyear



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



Biasedness



Projection errors are smaller at shorter horizons



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



Directional accuracy is high



Current-year projections capture turning points,but not one-year-ahead projections



Private sector forecasts: Consensusforecasts

Accuracy of forecasts:

- Mean Absolute Error (MAE)- Root Mean Square Error (RMSE)



Forecasting recessions



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



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



Forecasting bias



Comparing Consensus forecasts with IMFWorld Economic Outlook forecasts



Comparing Consensus forecasts with WorldBank forecasts



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



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.

analyse de la conjoncture

Documents