New Evidence on the Ability of Asset Prices and Real Economic Activity Forecast Errors to Predict Inflation Forecast Errors
نویسندگان
چکیده
منابع مشابه
Generalized Forecast Errors, A Change of Measure, and Forecast Optimality
This paper establishes properties of optimal forecasts under general loss functions, extending existing results obtained under speci c functional forms and data generating processes. We propose a new method that changes the probability measure under which the well-known properties of optimal forecasts under mean squared error loss can be recovered. We illustrate the proposed methods through an ...
متن کاملForecast Errors in Service Systems
We investigate the presence and impact of forecast errors in the arrival rate of customers to a service system. Analysis of a large dataset shows that forecast errors can be large relative to the fluctuations naturally expected in a Poisson process. We show that ignoring forecast errors typically leads to overestimates of performance and that forecast errors of the magnitude seen in our dataset...
متن کاملInvestor Sentiment and Analysts' Earnings Forecast Errors
W correlate analysts’ forecast errors with temporal variation in investor sentiment. We find that when sentiment is high, analysts’ forecasts of one-year-ahead earnings and long-term earnings growth are relatively more optimistic for “uncertain” or “difficult-to-value” firms. Adding these forecast errors to a regression of stock returns on sentiment absorbs a sizable fraction of the explanatory...
متن کاملAnalysts’ Earnings Forecast Errors and Cost Behavior
The objective of this study is to examine whether analysts fully incorporate a nonproportionate algorithm of cost-change relative to revenue-change in forecasting earnings. We conjecture that the errors in analysts’ earnings forecasts made in the first month after the fiscal year-end are largely due to the errors in estimating expenses as a result of analysts’ use of a proportionate cost-change...
متن کاملAn Evaluation of Recent Macroeconomic Forecast Errors
D espite a significant decline in the pace of economic growth in the second half of 2000, macroeconomic forecasters underpredicted real GDP growth and overpredicted the unemployment rate by a significant amount, for the fifth consecutive year. On average, real GDP forecasts were about 2 percentage points below the actual data for the 1996-2000 period, and unemployment rate forecasts about 0.5 p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2016
ISSN: 0277-6693
DOI: 10.1002/for.2453