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Evaluating a three-dimensional panel of point forecasts : the Bank of England survey of external forecasters

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Boero, Gianna , Smith, Jeremy (Jeremy P.) and Wallis, Kenneth Frank. (2008) Evaluating a three-dimensional panel of point forecasts : the Bank of England survey of external forecasters. International Journal of Forecasting, Vol.24 (No.3). pp. 354-367. ISSN 0169-2070

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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2008.04.003...

Abstract

This article provides a first analysis of the forecasts of inflation and GDP growth obtained from the Bank of England's Survey of External Forecasters, considering both the survey average forecasts published in the quarterly Inflation Report, and the individual survey responses, recently made available by the Bank. These comprise a conventional incomplete panel dataset, with an additional dimension arising from the collection of forecasts at several horizons; both point forecasts and density forecasts are collected. The inflation forecasts show good performance in tests of unbiasedness and efficiency, albeit over a relatively calm period for the UK economy, and there is considerable individual heterogeneity. For GDP growth, inaccurate real-time data and their subsequent revisions are seen to cause serious difficulties for forecast construction and evaluation, although the forecasts are again unbiased. There is evidence that some forecasters have asymmetric loss functions.

Item Type:

Journal Article

Subjects:

H Social Sciences > HC Economic History and Conditions
H Social Sciences > HJ Public Finance

Divisions:

Faculty of Social Sciences > Economics

Library of Congress Subject Headings (LCSH):

Economic forecasting -- Great Britain, Great Britain -- Economic conditions -- 2001-, Business forecasting

Journal or Publication Title:

International Journal of Forecasting

Publisher:

Elsevier

ISSN:

0169-2070

Official Date:

April 2008

Dates:

Date	Event
April 2008	["eprint_fieldopt_dates_date_type_modified" not defined]

Volume:

Vol.24

Number:

No.3

Page Range:

pp. 354-367

Identification Number:

10.1016/j.ijforecast.2008.04.003

Status:

Peer Reviewed

Access rights to Published version:

Open Access

Description:

Version accepted by publisher (post-print, after peer review, before copy-editing).

References:

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Forecast sources cited:
Bank of England Inflation Report (quarterly):
http://www.bankofengland.co.uk/publications/inflationreport/index.htm
Consensus Economics: http://www.consensusforecasts.com/
HM Treasury Forecasts for the UK Economy (monthly):
http://www.hm-treasury.gov.uk/economic_data_and_tools/data_index.cfm
US Survey of Professional Forecasters: http://www.philadelphiafed.org/econ/spf/index.cfm