TY - JOUR
T1 - The efficiency of multivariate macroeconomic forecasts
AU - Deschamps, Bruno
AU - Ioannidis, Christos
PY - 2014/9
Y1 - 2014/9
N2 - We examine the efficiency of multivariate macroeconomic forecasts by estimating a vector autoregressive model on the forecast revisions of four variables (GDP, inflation, unemployment and wages). Using a data set of professional forecasts for the G7 countries, we find evidence of cross-series revision dynamics. Specifically, forecasts revisions are conditionally correlated to the lagged forecast revisions of other macroeconomic variables, and the sign of the correlation is as predicted by conventional economic theory. This indicates that forecasters are slow to incorporate news across variables. We show that this finding can be explained by forecast underreaction.
AB - We examine the efficiency of multivariate macroeconomic forecasts by estimating a vector autoregressive model on the forecast revisions of four variables (GDP, inflation, unemployment and wages). Using a data set of professional forecasts for the G7 countries, we find evidence of cross-series revision dynamics. Specifically, forecasts revisions are conditionally correlated to the lagged forecast revisions of other macroeconomic variables, and the sign of the correlation is as predicted by conventional economic theory. This indicates that forecasters are slow to incorporate news across variables. We show that this finding can be explained by forecast underreaction.
UR - http://www.scopus.com/inward/record.url?scp=84891654952&partnerID=8YFLogxK
UR - http://dx.doi.org/10.1111/manc.12016
U2 - 10.1111/manc.12016
DO - 10.1111/manc.12016
M3 - Article
VL - 82
SP - 509
EP - 523
JO - The Manchester School
JF - The Manchester School
SN - 1467-9957
IS - 5
ER -
