Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/85223
標題: Analyzing fixed-event forecast revisions
關鍵字: Evaluating forecasts
Macroeconomic forecasting
Rationality
Intuition
Weak-form efficiency
Fixed-event forecasts
摘要: It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and one-period lagged revisions should be zero. The empirical findings in the literature suggest that this null hypothesis of zero correlation is rejected frequently, and the correlation can be either positive (which is widely interpreted in the literature as “smoothing”) or negative (which is widely interpreted as “over-reacting”). We propose a methodology for interpreting such non-zero correlations in a straightforward and clear manner. Our approach is based on the assumption that numerical forecasts can be decomposed into both an econometric model and random expert intuition. We show that the interpretation of the sign of the correlation between the current and one-period lagged revisions depends on the process governing intuition, and the current and lagged correlations between intuition and news (or shocks to the numerical forecasts). It follows that the estimated non-zero correlation cannot be given a direct interpretation in terms of either smoothing or over-reaction.
URI: http://hdl.handle.net/11455/85223
文章連結: http://dx.doi.org/10.1016/j.ijforecast.2013.04.002
Appears in Collections:應用經濟學系

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