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Forecast Errors And Financial Developments
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Book Synopsis Forecast Errors and Financial Developments by : Palle Schelde Andersen (deceased)
Download or read book Forecast Errors and Financial Developments written by Palle Schelde Andersen (deceased) and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: As central banks have moved towards a forward-looking implementation of monetary policy, the role of forecasts in the policy process has greatly increased. Against this background, this paper looks at the accuracy of forecasts and, more specifically, addresses the question whether forecasts of growth and inflation can be improved by including information from financial markets. The empirical work presented suggests that average forecast errors are not large enough to seriously undermine the basis for forward-looking monetary policies, except in periods of common shocks and at cyclical turning points. It also appears that unexpected changes in non-financial variables are the primary source of forecast errors. Nonetheless, for several countries, forecasts could also be improved by using the information contents of changes in the yield curve and of movements in exchange rates and other asset prices.
Book Synopsis Forecast Errors and Financial Developments by : Palle Schelde Andersen
Download or read book Forecast Errors and Financial Developments written by Palle Schelde Andersen and published by . This book was released on 1997 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances in Financial Planning and Forecasting (New Series) Vol．6 by : Cheng F. Lee
Download or read book Advances in Financial Planning and Forecasting (New Series) Vol．6 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2015-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Financial Planning and Froecasting (New Series) is an annual publication designed to disseminate developments in the area of financial analysis, planning, and forecasting. The publication is a froum for statistical, quantitative, and accounting analyses of issues in financial analysis and planning in terms of finance, accounting, and economic data.
Book Synopsis Forecasts in Times of Crises by : Theo S. Eicher
Download or read book Forecasts in Times of Crises written by Theo S. Eicher and published by International Monetary Fund. This book was released on 2018-03-09 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises pose unique challenges for forecast accuracy. Using the IMF’s Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises. We examine 29 macroeconomic variables in terms of bias, efficiency, and information content to find that IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of nominal GDP, public investment, private investment, the current account, net transfers, and government expenditures) exhibit significant forecast bias. Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality. When we decompose the forecast errors into their sources, we find that forecast errors for private consumption growth are the key contributor to GDP growth forecast errors. Similarly, forecast errors for non-interest expenditure growth and tax revenue growth are crucial determinants of the forecast errors in the growth of fiscal budgets. Forecast errors for balance of payments growth are significantly influenced by forecast errors in goods import growth. The results highlight which macroeconomic aggregates require further attention in future forecast models for countries in crises.
Book Synopsis Understanding Economic Forecasts by : David F. Hendry
Download or read book Understanding Economic Forecasts written by David F. Hendry and published by MIT Press. This book was released on 2003 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to interpret and evaluate economic forecasts and the uncertainties inherent in them.
Book Synopsis Advances in Financial Planning and Forecasting by : Cheng-Few Lee
Download or read book Advances in Financial Planning and Forecasting written by Cheng-Few Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2008-12-01 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession. The papers in this volume cover a wide range of topics including corporate finance and debt management, earnings management, equity market, auditing, option pricing theory, and interest rate theory. In this volume there are eleven chapters, five of them are corporate finance and debt management: 1. Liquidity and Adverse Selection: Evidence from the Five-or-Fewer Rule Change; 2. Changing Business Environment and the Value of Relevance of Accounting Information; 3. Pricing Risky Securities in Hidden Markov-Modulated Poisson Processes; 4. An Empirical Assessment of Alternative Dividend Expectation Models; 5. Quantitative Market Risk Disclosure, Bond Default Risk and The Cost of Debt: Why Value At Risk? There are two of the other six chapters which cover interest rate theory: 1. Positive Interest Rates and Yields: Additional Serious Considerations; 2. Collapse of Dimensionality in the Interest Rate Term Structure. The remaining four chapters cover financial analysts earnings forecasts, equity market, auditing, and option pricing theory. These four papers are: 1. Investors’ Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Role of Share Price Scaling and Omitted Risk Factors; 2. Predicting Stock Price by Applying the Residual Income Model and Bayesian Statistics; 3. Intertemporal Associations Between Non-Audit Services and Auditors’ Tendency to Allow Discretionary Accruals; 4. Put Option Portfolio Insurance vs. Asset Allocation.
Book Synopsis Economic Forecasting and Policy by : N. Carnot
Download or read book Economic Forecasting and Policy written by N. Carnot and published by Springer. This book was released on 2011-07-26 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting.
Book Synopsis Macrofinancial Causes of Optimism in Growth Forecasts by : Mr. Yan Carriere-Swallow
Download or read book Macrofinancial Causes of Optimism in Growth Forecasts written by Mr. Yan Carriere-Swallow and published by International Monetary Fund. This book was released on 2021-11-12 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the causes of the apparent bias towards optimism in growth forecasts underpinning the design of IMF-supported programs, which has been documented in the literature. We find that financial variables observable to forecasters are strong predictors of growth forecast errors. The greater the expansion of the credit-to-GDP gap in the years preceding a program, the greater its over-optimism about growth over the next two years. This result is strongest among forecasts that were most optimistic, where errors are also increasing in the economy’s degree of liability dollarization. We find that the inefficient use of financial information applies to growth forecasts more broadly, including the IMF’s forecasts in the World Economic Outlook and those produced by professional forecasters compiled by Consensus Economics. We conclude that improved macrofinancial analysis represents a promising avenue for reducing over-optimism in growth forecasts.
Book Synopsis OECD Forecasts During and After the Financial Crisis by :
Download or read book OECD Forecasts During and After the Financial Crisis written by and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Extreme volatility during the global financial crisis complicated economic forecasting, leading to large errors that underline the need for better modelling methods and new approaches for making and presenting projections, according to this OECD report. Main findings of this report: i) GDP growth was overestimated on average across 2007-12, reflecting not only errors at the height of the financial crisis but also errors in the subsequent recovery; ii) Forecast errors were larger in countries that are more open to external developments and hence exposed to shocks from other economies; iii) Larger forecast errors over 2007-12 have occurred in countries with more stringent pre-crisis labour and product market regulations; iv) Growth in the recovery has been weaker relative to predictions in countries in which banks had low capital ratios pre-crisis; v) Stronger projected fiscal consolidation has been associated with weaker-than-projected growth, but this conclusion holds only in some years, and only when Greece is included; vi) The forecasting experience in the wake of the crisis has led to a number of changes in forecasting procedures and communication - in the OECD as well as in other forecasting institutions."-
Book Synopsis Has Output Become More Predictable? by : Peter Tulip
Download or read book Has Output Become More Predictable? written by Peter Tulip and published by . This book was released on 2005 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several researchers have recently documented a large reduction in output volatility. In contrast, this paper examines whether output has become more predictable. Using forecasts from the Federal Reserve Greenbooks, the author finds evidence somewhat mixed. Output seems to have become more predictable at short horizons, but not necessarily at longer horizons. The reduction in unpredictability is much less than the reduction in volatility. Associated with this, recent forecasts had little predictive power.
Book Synopsis Determinants of Earnings Forecast Error, Earnings Forecast Revision and Earnings Forecast Accuracy by : Sebastian Gell
Download or read book Determinants of Earnings Forecast Error, Earnings Forecast Revision and Earnings Forecast Accuracy written by Sebastian Gell and published by Springer Science & Business Media. This book was released on 2012-03-26 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Earnings forecasts are ubiquitous in today’s financial markets. They are essential indicators of future firm performance and a starting point for firm valuation. Extremely inaccurate and overoptimistic forecasts during the most recent financial crisis have raised serious doubts regarding the reliability of such forecasts. This thesis therefore investigates new determinants of forecast errors and accuracy. In addition, new determinants of forecast revisions are examined. More specifically, the thesis answers the following questions: 1) How do analyst incentives lead to forecast errors? 2) How do changes in analyst incentives lead to forecast revisions?, and 3) What factors drive differences in forecast accuracy?
Book Synopsis Economic Forecasts and Fiscal Policy in the Recently Acceded Member States by : Filip Keereman
Download or read book Economic Forecasts and Fiscal Policy in the Recently Acceded Member States written by Filip Keereman and published by . This book was released on 2005 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecast errors are large in the recently acceded Member States and the mistakes have a similar order of magnitude in the Commission services' forecasts, Consensus Forecasts and projections made by national authorities. The prediction mistakes cannot be attributed to bias or autocorrelation. Volatility in the economic developments and data revisions creating uncertainty on the state of the economy appear the main explanation for the difficulty to make good forecasts. Prediction mistakes for GDP growth lead to wrong projections for general government balances through the operation of the automatic stabilisers, but errors in the discretionary part of the government balance are the largest source of fiscal forecast mistakes. Growth forecast errors influence fiscal policy decisions.
Book Synopsis OECD Forecasts During and After the Financial Crisis by :
Download or read book OECD Forecasts During and After the Financial Crisis written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Government Budget Forecasting by : Jinping Sun
Download or read book Government Budget Forecasting written by Jinping Sun and published by Routledge. This book was released on 2017-09-25 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revenue and expenditure forecasting plays an important role in public budgeting and financial management, particularly during times of financial constraint, when citizens impose greater accountability upon government to use taxpayer dollars more efficiently. Despite its significance, revenue and expenditure forecasting is often overlooked in the budget process, and there is an imbalance between practice and research in this area. Based on the collaboration of budget scholars and practitioners, Government Budget Forecasting fulfills two purposes: Enhances the understanding of revenue and expenditure estimation both theoretically and practically Stimulates dialogue and debate among practitioners and academicians to identify good forecast practices as well as areas for improvement Divided into four parts, this comprehensive reference first examines forecast practices at the federal, state, and local levels, drawing on case studies that include California, Texas, and Louisiana. It then explores consensus systems and risk assessment, considering political factors and the costs of forecast errors. The text concludes with a call to transparency and guidance from a code of ethics, and a look at forecasting practices in emerging countries.
Download or read book Economic Forecasting written by N. Carnot and published by Springer. This book was released on 2005-08-12 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting. In addition, the book addresses the main issues surrounding the use of forecasts (accuracy, communication challenges) and their policy implications. A tour of the economic data and forecasting institutions is also provided.
Author :International Monetary Fund Publisher :International Monetary Fund ISBN 13 :1451943679 Total Pages :116 pages Book Rating :4.4/5 (519 download)
Book Synopsis World Econonomic and Financial Surveys, 1988 by : International Monetary Fund
Download or read book World Econonomic and Financial Surveys, 1988 written by International Monetary Fund and published by International Monetary Fund. This book was released on 1988-01-01 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the World Economic Outlook forecasting record for the principal performance indicators for the major industrial countries and corresponding aggregates and for groups of non-oil developing countries. Several criteria were used in evaluating the forecasts: the computation and evaluation of various summary statistics of forecast accuracy, bias, and efficiency; comparisons with alternative forecasts—naive forecasts and forecasts produced by the Organization for Economic Cooperation and Development (OECD) and by national forecasting agencies; the examination of turning-point errors and forecast performance in defined episodes; and, finally, some attempt to explain forecast error in terms of unanticipated developments in policy variables and oil prices. In judging the forecast performance of the World Economic Outlook, a number of points must be kept in mind. Most important, it has to be recognized that the period since the inception of the World Economic Outlook as a regular forecasting exercise has been extraordinarily rich in economic upheavals, which have made the odds against accurate forecasting formidable.
Book Synopsis Forecast Errors and Uncertainty Shocks by : Sylwia Nowak
Download or read book Forecast Errors and Uncertainty Shocks written by Sylwia Nowak and published by International Monetary Fund. This book was released on 2016-11-17 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomic forecasts are persistently too optimistic. This paper finds that common factors related to general uncertainty about U.S. macrofinancial prospects and global demand drive this overoptimism. These common factors matter most for advanced economies and G- 20 countries. The results suggest that an increase in uncertainty-driven overoptimism has dampening effects on next-year real GDP growth rates. This implies that incorporating the common structure governing forecast errors across countries can help improve subsequent forecasts.
