Analyse de la conjoncture

Balazs EGERT
OECD and UPX

 Cours en ligne
Password: CAC40
If not working, mail me on
balazs.egert@oecd.org
This is the last course

Papers
Vogel, L. 2007, How do the OECD growth projections for the
G7 economies perform? A post-mortem, OECD Economics
Department Working Paper No. 33.
Loungani, P., 2000, How accurate are private sector
forecasts? Cross-country evidence from consensus
forecasts of output growth, IMF Working Paper No. 77.
Jonung L. and M. Larch, 2004, Improving fiscal policy in the
EU: the case for independent forecasts, European
Commission, European Economy Economic Papers No. 210

OECD growth projections

Twice a year spring, and autumn
Spring: current year + next year
Autumn: current year + next year
Assumptions
- constant exchange rate

- constant/trending oil prices

- fiscal policy: legislated measures
- monetary policy: maintaining price stability

OECD growth projections G7 countries

No bias for current year, but + bias for next

year

Biasedness

Unbiasedness: no systematic mistakes of expectations

with regard to the realisation of the variable
considered.

X t t 1 ( X t ) t
Null of unbiasedness
Alternative of biasedness
OR

H 0 : 0 and

H 1 : 0 and

X t t 1 ( X t ) t

Biasedness

Projection errors are smaller at shorter horizons

Forecast accuracy
Mean squared error (MSE) = (fe)/N
- quadratic loss function: useful if large forecast errors are
disproportionately more important than small forecast errors.
- But in the presence of outliers or if large forecast error are
equally important than small forecast error, mean absolute
error are preferable
f
Root mean squared error (RMSE) = (fe)/N
Mean absolute error (MAE) = (IfeI)/N
Mean absolute percentage error (MAPE) = (Ife/xI)/N
Forecast direction accuracy (FDA): % of how often the direction
of change is forecast appropriately

Directional accuracy is high

Current-year projections capture turning points,

but not one-year-ahead projections

Private sector forecasts: Consensus

forecasts
Accuracy of forecasts:
- Mean Absolute Error (MAE)
- Root Mean Square Error (RMSE)

Private sector forecasts: Consensus

forecasts
Accuracy of forecasts:
- Mean Absolute Error (MAE)
- Root Mean Square Error (RMSE)

Forecasting recessions

Forecasting recessions

Forecasting efficiency
Weak form of efficiency: forecast errors cannot be
explained by past information
n

X t t 1 ( X t ) i X t i t
i 1

Null of efficiency
Alternative

H 0 : 1 2 ... n 0
H 1 : 1 2 ... n 0

Forecasting bias

Unbiasedness: no systematic mistakes of expectations

with regard to the realisation of the variable
considered.

X t t 1 ( X t ) t
Null of unbiasedness
Alternative of biasedness

H 0 : 0 and

H 1 : 0 and

Forecasting bias

Comparing Consensus forecasts with IMF

World Economic Outlook forecasts

Comparing Consensus forecasts with OECD

Economic Outlook forecasts

Comparing Consensus forecasts with World

Bank forecasts

Forecast accuracy of government GDP

projections
Accuracy of official growth forecasts:
Prediction errors for growth regressed on
a constant term
- Unbiasedness if constant is not significant
- Otherwise, the constant shows the extent
of the bias

Objective: detecting turning points in

economic activity using monthly series
which

measure early stages of production,

respond rapidly to changes in economic activity,
are sensitive to expectations of future activity or
are control variables that measure policy stance.