Testing the efficiency and rationality of City forecasts
UNSPECIFIED (1999) Testing the efficiency and rationality of City forecasts. INTERNATIONAL JOURNAL OF FORECASTING, 15 (1). pp. 57-66. ISSN 0169-2070Full text not available from this repository.
This paper examines the accuracy of city forecasts of UK data releases as collected by Standard and Poor's MMS. It finds that the median forecast calculated by MMS are, for the majority of series, biased and inefficient. The numerical size of these deviations is found to be small, unlike in some other studies. Evidence is presented that revisions may take place during the period between the collection of the forecast and the publication of the data. If significant forecast revisions take place this would compromise the usefulness of forecast surveys in the estimation of 'news' effects on financial asset prices. Regression analysis does not suggest that revisions can be systematically measured by changes in current dated variables or by news from other variables. News effects therefore measure the direct effect of the forecast error rather than also including the effects of revisions to forecasts of, as yet, unpublished data. (C) 1999 Elsevier Science B.V. All rights reserved.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HC Economic History and Conditions
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
|Journal or Publication Title:||INTERNATIONAL JOURNAL OF FORECASTING|
|Publisher:||ELSEVIER SCIENCE BV|
|Number of Pages:||10|
|Page Range:||pp. 57-66|
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