Resource title

Forecast errors and the macroeconomy: a non-linear relationship?

Resource image

image for OpenScout resource :: Forecast errors and the macroeconomy: a non-linear relationship?

Resource description

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.

Resource author

Ulrich Fritsche, Jörg Döpke

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/18349

Resource license

Adapt according to the presented license agreement and reference the original author.