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How efficient are China's macroeconomic forecasts? Evidences from a new forecasting evaluation approach
Sun, Yuying; Wang, Shouyang; Zhang, Xun1
2018
Source PublicationECONOMIC MODELLING
ISSN0264-9993
Volume68Pages:506-513
AbstractSurveys, 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.
KeywordForecast revisions Macroeconomic forecast Unbalanced three-dimensional panel data Surveys LINEX asymmetric loss function
DOI10.1016/j.econmod.2017.08.028
Language英语
Funding ProjectNatural Science Foundation of China[71422015] ; Center of National Mathematics and Interdisciplinary Sciences (Research Project of Global Macroeconomic Monitoring, Forecasting and Policy Simulation Platform)
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000423247800040
PublisherELSEVIER SCIENCE BV
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/29482
Collection系统科学研究所
Affiliation1.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
Recommended Citation
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.
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