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 -