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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Spreads vs professional forecasters as predictors of future output change
AU - Aretz, K
AU - Peel, D
PY - 2010
Y1 - 2010
N2 - 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
AB - 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
KW - real GDP growth • Survey of Professional Forecasters • term structure
U2 - 10.1002/for.1136
DO - 10.1002/for.1136
M3 - Journal article
VL - 29
SP - 517
EP - 522
JO - Journal of Forecasting
JF - Journal of Forecasting
SN - 0277-6693
IS - 6
ER -