How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach

doi:10.1016/j.econmod.2017.08.028

CSpace > 系统科学研究所

	How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach
	Sun, Yuying; Wang, Shouyang; Zhang, Xun1
	2018
发表期刊	ECONOMIC MODELLING
ISSN	0264-9993
卷号	68 页码:506-513
摘要	Surveys, which are designed to collect data and include professional forecasts of macroeconomic variables, are of great interest to central banks and various institutions. The formal evaluation of such forecasts has attracted considerable attention in literature. However, empirical studies focusing on China are limited. This paper firstly proposes a new approach to test forecasts' accuracy and efficiency under asymmetric loss function by using a unique dataset from surveys conducted by the State Administration of Foreign Exchange in China. It is found that forecasters of the four macroeconomic variables (i.e., GDP growth rate, CPI, exports and imports) partially utilize new information and publicly available information under LINEX loss function when they update the forecasts, which are similar to those under quadratic loss function. Besides, a new finding in this paper is that over-smoothing hardly exists in the forecasts of GDP growth rate and CPI in China, which is different from the results in developed countries. Our findings suggest clear areas of opportunity to improve the accuracy of the forecasts, such as considering the negative autocorrelation found in forecast revisions of CPI.
关键词	Forecast revisions Macroeconomic forecast Unbalanced three-dimensional panel data Surveys LINEX asymmetric loss function
DOI	10.1016/j.econmod.2017.08.028
语种	英语
资助项目	Natural Science Foundation of China[71422015] ; Center of National Mathematics and Interdisciplinary Sciences (Research Project of Global Macroeconomic Monitoring, Forecasting and Policy Simulation Platform)
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000423247800040
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29482
专题	系统科学研究所
通讯作者	Zhang, Xun
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, 55 Zhongguancun East Rd, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting, Sci, 55 Zhongguancun East Rd, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Sun, Yuying,Wang, Shouyang,Zhang, Xun. How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach[J]. ECONOMIC MODELLING,2018,68:506-513.
APA	Sun, Yuying,Wang, Shouyang,&Zhang, Xun.(2018).How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach.ECONOMIC MODELLING,68,506-513.
MLA	Sun, Yuying,et al."How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach".ECONOMIC MODELLING 68(2018):506-513.