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Spreads vs professional forecasters as predictors of future output change

Aretz, K and Peel, D (2010) Spreads vs professional forecasters as predictors of future output change. Journal of Forecasting, 29 (6). pp. 517-522. ISSN 0277-6693

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    Abstract

    We examine whether real output forecasts obtained from the Survey of Professional Forecasters efficiently embody information in the term structure spread. To this end, we employ revised data as well as real-time vintage data, and we also allow for the possible impact of asymmetric loss functions. Assuming quadratic loss, our results suggest that the term structure spread does contain information useful for forecasting not reflected in the survey forecasts, at least over the longest forecast horizon. However, if we allow agents' loss functions to become more negatively skewed with the forecast horizon, then we cannot reject the rationality of the survey forecasts

    Item Type: Article
    Journal or Publication Title: Journal of Forecasting
    Uncontrolled Keywords: real GDP growth • Survey of Professional Forecasters • term structure
    Subjects: H Social Sciences > HG Finance
    Departments: Lancaster University Management School > Accounting & Finance
    Lancaster University Management School > Economics
    ID Code: 31720
    Deposited By: Dr Kevin Aretz
    Deposited On: 10 Feb 2010 11:37
    Refereed?: Yes
    Published?: Published
    Last Modified: 21 Nov 2017 17:37
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/31720

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