Professional economic forecasts: are they worth their costs?

Article Abstract:

Previous studies have belittled the predictive power of professional economic forecasts. These are believed to be only as good as or even less effective than simple forecasting models such as autoregressive, moving average models. However, such evaluations have been based on root mean squared error and other criteria that fail to explain the use and rational for such forecasts. Using forecast direction accuracy, which is highly correlated with profits, as an alternative criteria shows that professional forecasts perform better than simpler alternatives.

Economic forecasting

---

Non-linearity and exchange rates

Article Abstract:

Conditional heteroscedastic models (CHMs) have been used as tools in the econometric analysis of nominal exchange rates. Tests to determine if CHMs fully define non-linear properties of such rates for the US dollar showed that the models sufficiently addressed volatility clustering and volatility peaks for uncertain periods of the world market. Other currencies examined in the tests were the French franc, the British pound and the Japanese yen.

Models, Prices and rates, Econometrics, Foreign exchange, Foreign exchange rates, Dollar (United States), Heteroscedasticity

---

An assessment of the economic value of non-linear foreign exchange rate forecasts

Article Abstract:

Recursively computed non-linear forecasts may be better alternatives for predicting the direction of changes in daily exchange rates. Non-linear predictions can easily be implemented in a trading scheme outperforming payoffs from a buy-and-hold strategy. Evidence shows that mean squared error is not always the best measure for non-linear process prediction.

Analysis, Forecasts and trends

Similar abstracts:

• Abstracts: Testing the rationality of forecast revisions made by the IMF and the OECD. Political maneuverings as sources of measurement errors in forecasts
• Abstracts: Testing the rationality of forecast revisions made by the IMF and the OECD. part 2 Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts
• Abstracts: How fast do economies converge? Tax avoidance and the deadweight loss of the income tax. Household labor supply in urban areas of Bolivia
• Abstracts: International equity flows and the predictability of US stock returns. Predicting bankruptcy using recursive partitioning and a realistically proportioned data set
• Abstracts: Campaign contributions and congressional voting: does the timing of contributions matter? Majority decisions based on differences of votes

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.