Abstract

http://ssrn.com/abstract=1707984
 


 



Information or Institution? On the Determinants of Forecast Accuracy


Roland Doehrn


Rheinisch-Westfalisches Institut fur Wirtschaftsforschung, Essen (Rhine-Westphalia Institute for Economic Research)

Christoph M. Schmidt


Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI Essen); Institute for the Study of Labor (IZA); Centre for Economic Policy Research (CEPR)

September 1, 2010

Ruhr Economic Paper No. 201

Abstract:     
The accuracy of macroeconomic forecast depends on various factors, most importantly the mix of analytical methods used by the individual forecasters, the way that their personal experience is shaping their identification strategies, but also their efficiency in translating new information into revised forecasts. In this paper we use a broad sample of forecasts of German GDP and its components to analyze the impact of institutions and information on forecast accuracy. We find that forecast errors are a linear function of the forecast horizon. This result is robust over a variety of different specifications. As better information seems to be the key to achieving better forecasts, approaches for acquiring reliable information early seem to be a good investment. By contrast, the institutional factors tend to be small and statistically insignificant. It has to remain open, whether this is the consequence of the efficiency-enhancing competition among German research institutions or rather the reflection of an abundance of forecast suppliers.

Number of Pages in PDF File: 32

Keywords: Forecast accuracy, Forecast Revisions, Forecast Horizon, Economic Activity

JEL Classification: C53, E27, E01

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Date posted: November 14, 2010  

Suggested Citation

Doehrn, Roland and Schmidt, Christoph M., Information or Institution? On the Determinants of Forecast Accuracy (September 1, 2010). Ruhr Economic Paper No. 201. Available at SSRN: http://ssrn.com/abstract=1707984 or http://dx.doi.org/10.2139/ssrn.1707984

Contact Information

Roland Doehrn (Contact Author)
Rheinisch-Westfalisches Institut fur Wirtschaftsforschung, Essen (Rhine-Westphalia Institute for Economic Research) ( email )
45128 Essen
Germany
Christoph M. Schmidt
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI Essen) ( email )
Hohenzollernstraße 1-3
45128 Essen
Germany
++49 201 8149-228 (Phone)
++49 201 8149-236 (Fax)
Institute for the Study of Labor (IZA)
P.O. Box 7240
Bonn, D-53072
Germany
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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