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Forecast revisions of Mexican inflation and GDP growth

Capistrán, Carlos and López-Moctezuma, Gabriel (2014) Forecast revisions of Mexican inflation and GDP growth. International Journal of Forecasting, 30 (2). pp. 177-191. ISSN 0169-2070. https://resolver.caltech.edu/CaltechAUTHORS:20180116-092310742

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Abstract

We analyze the forecasts of inflation and GDP growth contained in the Banco de México’s Survey of Professional Forecasters for the period 1995–2009. The forecasts are for the current and the following year, and comprise an unbalanced three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The fixed-event nature of the forecasts enables us to examine their efficiency by looking at the revision process. The panel structure allows us to control for aggregate shocks and to construct a measure of the news that impacted expectations in the period under study. We find that respondents anchor to their initial forecasts, updating their revisions smoothly as they receive more information. In addition, they do not seem to use publicly-known information in an efficient manner. These inefficiencies suggest clear areas of opportunity for improving the accuracy of the forecasts, for instance by taking into account the positive autocorrelation found in forecast revisions.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/j.ijforecast.2013.07.016DOIArticle
http://www.sciencedirect.com/science/article/pii/S0169207013001003PublisherArticle
Additional Information:© 2013 International Institute of Forecasters. Published by Elsevier B.V. Available online 6 December 2013. We thank Daniel Chiquiar, Nikita Perevalov, José Gonzalo Rangel and seminar participants at Banco de México and the XIV CEMLA Research Economists Meetings for helpful comments. The opinions in this paper correspond to the authors and do not necessarily reflect the point of view of the Banco de México.
Subject Keywords:Evaluating forecasts; Inflation forecasting; Macroeconomic forecasting; Panel data; Surveys
Issue or Number:2
Record Number:CaltechAUTHORS:20180116-092310742
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20180116-092310742
Official Citation:Carlos Capistrán, Gabriel López-Moctezuma, Forecast revisions of Mexican inflation and GDP growth, International Journal of Forecasting, Volume 30, Issue 2, 2014, Pages 177-191, ISSN 0169-2070, https://doi.org/10.1016/j.ijforecast.2013.07.016. (http://www.sciencedirect.com/science/article/pii/S0169207013001003)
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:84333
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:17 Jan 2018 18:03
Last Modified:03 Oct 2019 19:17

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