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Volume 61, Issue 4

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Assessment of Consensus Forecasts Accuracy: The Czech National Bank Perspective

Novotný, Filip; Raková, Marie

Year: 2011   Volume: 61   Issue: 4   Pages: 348-366

Abstract: This paper compares the accuracy of the Consensus forecasts for euro-area GDP growth, consumer and producer price inflation, and the USD/EUR exchange rate to those of the European Commission, International Monetary Fund, and Organization for Economic Co-operation and Development, and also to the naive forecast and the forecast implied by the forward exchange rate. In the period from 1994 to 2009 the Consensus forecasts for effective euro-area consumer price inflation and GDP growth beat the alternatives by a difference which is typically statistically significant. The results are more diverse for the pre-crisis sample (1994–2007). The Consensus forecast for euro-area producer price inflation significantly outperforms the naive forecast in the short term. Finally, the Consensus forecast for the USD/EUR exchange rate during the period from 2002 to 2009 is more precise than the naive forecast and the forecast implied by the forward rate.

JEL classification: E37; E58

Keywords: forecasting accuracy; prediction process; survey forecast

RePEc: http://ideas.repec.org/a/fau/fauart/v61y2011i4p348-366.html

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