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

[thumbnail of Spreads vs professional forecasters as predictors of future output change]
Preview
PDF (Spreads vs professional forecasters as predictors of future output change)
10.pdf - Submitted Version

Download (59kB)

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:
Journal Article
Journal or Publication Title:
Journal of Forecasting
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2611
Subjects:
?? real gdp growth • survey of professional forecasters • term structuremodelling and simulationstrategy and managementmanagement science and operations researchstatistics, probability and uncertaintycomputer science applicationshg financediscipline-based re ??
ID Code:
31720
Deposited By:
Deposited On:
10 Feb 2010 11:37
Refereed?:
Yes
Published?:
Published
Last Modified:
08 Feb 2024 00:36