Why are Macro-economic Growth Forecasts so wrong?
There are several institutions which publish economic forecasts annually/quarterly.
- IMF
- OECD
- EC
Central Banks of Nations also publish economic Forecasts. For Example:
- Federal Reserve Bank of USA
- Bank of England
- Bank of Canada
- Riksbank of Sweden
- European Central Bank
There are several surveys of professional forecasters which create consensus forecasts to improve the accuracy of forecasts.
- US Fed Reserve Survey of Professional Forecasters
- ECB Survey of Professional Forecasters
- Consensus Forecasts by Consensus Forecasts
- Federal Reserve Blue Book
- Federal Reserve Livingston Survey
- Blue Chip Economic Forecasts by Wolters Kluwers
International Forecasting organizations (Private and Government)
- IMF, “World Economic Outlook”;
- EC, “European Economic Forecast”;
- OECD, “OECD Economic Outlook”;
- Consensus Economics, “Consensus Forecasts”;
- The Economist, “The Economist pool of forecasters”.
USA Private and Government Economic Forecasters
- Fed Reserve Survey of Professional Forecasters
- Blue Chip Economic Indicators ( Wolters Kluwer)
- Green Book
- Livingston Survey
- CBO
- FOMC
- Office of Management and Budget (OMB)
- Western Blue Chip Economic Forecast
From Swiss Re Report May 2017
From Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors: The Federal Reserve’s Approach
Surveys of Economic Forecasters:
USA Private Economic Forecasters
There are many private forecasters who also publish forecasts. For Example:
- The Conference Board
- Wells Fargo Bank
- Goldman Sachs
- Citi Group
- Haver Analytics
- RSQE Forecasts at University of Michigan
See the lists below for almost all of professional forecasters.
From Blue Chip Economic Forecast:
From Social Learning, Strategic Incentives and Collective Wisdom: An Analysis of the Blue Chip Forecasting Group
There is also in UK:
- NIESR ( National Institute of Economic and Social Research)
From time to time many of these organizations review quality of their forecasts. Results of these studies are published in papers many of which are listed in references below.
After the global financial Crisis of 2008-2009, many institutions have taken another look at their models used for forecasting economic variables.
See recent papers by
- Bank of Canada
- IMF
- OECD
- Fed Reserve
- Bank of England
- Riksbank of Sweden
- US CBO
- Bank of Portugal
- European Commission
From Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors: The Federal Reserve’s Approach
Since late 2007, the Federal Open Market Committee (FOMC) of the U.S. Federal Reserve has regularly published assessments of the uncertainty associated with the projections of key macroeconomic variables made by individual Committee participants.1 These assessments, which are reported in the Summary of Economic Projections (SEP) that accompanies the FOMC minutes once a quarter, provide two types of information about forecast uncertainty. The first is qualitative in nature and summarizes the answers of participants to two questions: Is the uncertainty associated with his or her own projections of real activity and inflation higher, lower or about the same as the historical average? And are the risks to his or her own projections weighted to the upside, broadly balanced, or weighted to the downside? The second type of information is quantitative and provides the historical basis for answering the first qualitative question. Specifically, the SEP reports the root mean squared errors (RMSEs) of real-time forecasts over the past 20 years made by a group of leading private and public sector forecasters.
Some have blamed the entire economics profession. Several attempts are being made to improve economic analysis. Examples include work being done at
- INET ( Institute for New Economic Thinking)
- NAEC at OECD
Heterodox schools of economics are making claims to accuracy of their approach after failure of main stream orthodox New Classical economics in predicting the Global Financial Crisis.
I will create another post later for some of these issues.
- GDP forecasts errors have been attributed to errors in GDP components of business investments and exports.
- Variability of GDP forecasts from short term to long term
- Variability of GDP forecasts between forecasters – private and governments
Key Sources of Research:
The Case of Serial Disappointment
Justin‐Damien Guénette, Nicholas Labelle St‐Pierre, Martin Leduc and
Lori Rennison
Bank of Canada Staff Analytical Note 2016-10
July 2016
The Case of Serial Disappointment
ToTEM: The Bank of Canada’s New Quarterly Projection Model
Stephen Murchison and Andrew Rennison
Research Department
Bank of Canada
2006
ToTEM: The Bank of Canada’s New Quarterly Projection Model
ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model
José Dorich, Michael Johnston, Rhys Mendes, Stephen Murchison and Yang Zhang
Canadian Economic Analysis Department
Bank of Canada
2013
ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model
Introducing the Bank of Canada’s Projection Model for the Global Economy
Jeannine Bailliu, Patrick Blagrave, and James Rossiter
International Economic Analysis Department
Bank of Canada
2010
Introducing the Bank of Canada’s Projection Model for the Global Economy
Introducing the Bank of Canada’s Projection Model for the Global Economy
BoC-GEM: Modelling the World Economy
René Lalonde, International Economic Analysis Department
Dirk Muir, International Monetary Fund
BANK OF CANADA REVIEW SUMMER 2009
BoC-GEM: Modelling the World Economy
MUSE: The Bank of Canada’s New Projection Model of the U.S. Economy
Marc-André Gosselin and René Lalonde
International Department
Bank of Canada
2005
MUSE: The Bank of Canada’s New Projection Model of the U.S. Economy
OECD FORECASTS DURING AND AFTER THE FINANCIAL CRISIS: A POST MORTEM
OECD Economics Department
Policy Note no. 23
February 2014
OECD FORECASTS DURING AND AFTER THE FINANCIAL CRISIS: A POST MORTEM
THE USE OF MODELS IN PRODUCING OECD MACROECONOMIC FORECASTS
OECD ECONOMICS DEPARTMENT WORKING PAPERS NO. 1336
By David Turner
2016
THE USE OF MODELS IN PRODUCING OECD MACROECONOMIC FORECASTS
Lessons from OECD forecasts during and after the financial crisis
Christine Lewis and Nigel Pain
OECD Journal: Economic Studies
Volume 2014
Lessons from OECD forecasts during and after the financial crisis
How accurate are OECD forecasts?
Home Glossary About Contact Disclaimer How accurate are OECD forecasts?
Debate the Issues: Complexity and Policy making
OECD
Edited By:Patrick Love, Julia Stockdale-Otárola
- 06 June 2017
Debate the Issues: Complexity and Policy making
We need an empowering narrative
Final NAEC Synthesis : New Approaches to Economic Challenges
OECD
2015
Final NAEC Synthesis New Approaches to Economic Challenges
Debate the Issues: New Approaches to Economic Challenges
OECD
2016
Debate the Issues: New Approaches to Economic Challenges
OECD Forecasts During and After the Financial Crisis
A Post Mortem
Nigel Pain, Christine Lewis, Thai-Thanh Dang, Yosuke Jin, Pete Richardson
17 Mar 2014
OECD Forecasts During and After the Financial Crisis A Post Mortem
Outlook for the Budget and the Economy
CBO USA
Outlook for the Budget and the Economy
CBO’s Economic Forecasting Record: 2015 Update
US CBO
CBO’s Economic Forecasting Record: 2015 Update
“Gauging the Uncertainty of the Economic
Outlook Using Historical Forecasting Errors: The Federal Reserve’s Approach,”
Finance and Economics Discussion Series 2017-020.
Washington: Board of Governors of the Federal Reserve System
The FRB/US Model: A Tool for Macroeconomic Policy Analysis
lint Brayton, Thomas Laubach, and David Reifschneider
2014
The FRB/US Model: A Tool for Macroeconomic Policy Analysis
Gauging the Uncertainty of the Economic Outlook from Historical Forecasting Errors
David Reifschneider and Peter Tulip
federal Reserve
2007-60
Gauging the Uncertainty of the Economic Outlook from Historical Forecasting Errors
The IMF/WEO Forecast Process
Hans Genberg, Andrew Martinez, and Michael Salemi
IMF
2014
On the Accuracy and Efficiency of IMF Forecasts: A Survey and Some Extensions
Hans Genberg and Andrew Martinez
IMF
2014
On the Accuracy and Efficiency of IMF Forecasts: A Survey and Some Extensions
An Evaluation of Commissioned Studies : Assessing the Accuracy of IMF Forecasts
Prepared by Charles Freedman
February 12, 2014
IMF
An Evaluation of Commissioned Studies : Assessing the Accuracy of IMF Forecasts
An Assessment of IMF Medium-Term Forecasts of GDP Growth
Carlos de Resende
2014
IMF
An Assessment of IMF Medium-Term Forecasts of GDP Growth
THE POLITICS OF IMF FORECASTS
AXEL DREHER
SILVIA MARCHESI
JAMES RAYMOND VREELAND
CESIFO WORKING PAPER NO. 2129
OCTOBER 2007
Macroeconomic Forecasting: A Survey
K Wallis
1989
Macroeconomic Forecasting: A Survey
INTERNATIONAL ORGANISATIONS’ VS. PRIVATE ANALYSTS’ FORECASTS:
AN EVALUATION
Ildeberta Abreu
Banco de Portugal
July 2011
International organisations’ vs. private analysts’ forecasts: an evaluation
Click to access ab201105_e.pdf
On Macroeconomic Forecasting
Simon Wren-Lewis
2014
Why central banks use models to forecast
Simon Wren-Lewis
2014
Why central banks use models to forecast
USA Survey of Economic Professional Forecasters
ECB Survey of Economic Professional Forecasters
Trading Economics
Oxford Economics
Consensus Economics
IHS Markit
Evaluating forecast performance
Bank of England
Independent Evaluation Office | November 2015
Evaluating forecast performance
Does the FederaL Reserve Staff Still beat Private Forecasters?
Makram El-Shagi, Sebastian Giesen and Alexander Jung
2014
DoeS THe FeDeraL reSerVe STaFF STiLL beaT PriVaTe ForeCaSTerS?
Modern Forecasting Models in Action: Improving Macroeconomic Analyses at
Central Banks
Malin Adolfson, Michael K. Andersson, Jesper Lind´e,
Mattias Villani, and Anders Vredina
Sveriges Riksbank
CEPR
Stockholm University
Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
Updated Historical Forecast Errors (4/9/2014)
Federal Reserve
Updated Historical Forecast Errors (4/9/2014)
How good is the forecasting performance of major institutions?
Riksbank of Sweden
Monetary Policy Department.
How good is the forecasting performance of major institutions?
Best Economic Forecaster Awards
Focus Economics
Best Economic Forecaster Awards
Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy
Federal Reserve
Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy
Green Book
Federal Reserve Bank of Philadelphia
US Federal Reserve Livingston Survey
Federal Reserve Bank of Philadelphia
The IMF and OECD versus Consensus Forecasts
by
Roy Batchelor
City University Business School, London
August 2000
The IMF and OECD versus Consensus Forecasts
CBO’s January 2017 Budget and Economic Outlook
CRFB
CBO’s January 2017 Budget and Economic Outlook
Growth Forecast Errors and Fiscal Multipliers
Prepared by Olivier Blanchard and Daniel Leigh
January 2013
IMF
http://www.nber.org/papers/w18779
Central Bank Macroeconomic Forecasting during the global Financial Crisis: the European Central Bank and Federal Reserve Bank of New York experiences
no 1688 / july 2014
Lucia Alessi, Eric Ghysels, Luca Onorante, Richard Peach and Simon Potter
ECB
https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1688.pdf?ff3aaaa983fbe7da4e5d7000c1108415
Macroeconomic Models, Forecasting, and Policymaking
2011
Cleveland Federal Reserve Bank
Economic Forecasting and its Role in Making Monetary Policy
RB Australia
1999
https://www.rba.gov.au/publications/bulletin/1999/sep/pdf/bu-0999-1.pdf
Are Forecasting Models Usable for Policy Analysis?
1986
Chris Sims
Minneapolis Federal Reserve
https://www.minneapolisfed.org/research/QR/QR1011.pdf
Persistent Overoptimism about Economic Growth
BY KEVIN J. LANSING AND BENJAMIN PYLE
2015
http://www.frbsf.org/economic-research/files/el2015-03.pdf
Federal Reserve economic projections: What are they good for?
https://www.brookings.edu/blog/ben-bernanke/2016/11/28/federal-reserve-economic-projections/
Reassessing Longer-Run U.S. Growth: How Low?
John G. Fernald
Federal Reserve Bank of San Francisco
August 2016
http://www.frbsf.org/economic-research/files/wp2016-18.pdf
Recent declines in the Fed’s longer-run economic projections
by Jonas D. M. Fisher,
Christopher Russo,
2017
https://www.chicagofed.org/publications/chicago-fed-letter/2017/375
“How Accurate Are Private Sector Forecasts? Cross-Country Evidence from Consensus Forecasts of Output Growth.”
Prakash Loungani
2000
IMF
https://www.imf.org/external/pubs/ft/wp/2000/wp0077.pdf
The Failure to Forecast the Great Recession
Liberty Street Economics / New York Federal Reserve Bank
Social Learning, Strategic Incentives and Collective Wisdom: An Analysis of the Blue Chip Forecasting Group
J. Peter Ferderer Department of Economics Macalester College
St. Paul, MN 55105 ferderer@macalester.edu
Adam Freedman Chicago, IL 60601 freedman.adamj@gmail.com
July 22, 2015
http://muse.union.edu/lamacroworkshop2015/files/2015/01/34-Ferderer-Blue-Chip-Collective-Wisdom.pdf
CBO’s Economic Forecasting Record 2013 Update
https://www.cbo.gov/sites/default/files/113th-congress-2013-2014/reports/43846-ForecastingRecord.pdf
CBO’s Economic Forecasting Record 2015 Update
CBO Recurring reports
https://www.cbo.gov/about/products/major-recurring-reports#7
European Commission’s Forecasts Accuracy Revisited: Statistical Properties and Possible Causes of Forecast Errors
Marco Fioramanti, Laura González Cabanillas, Bjorn Roelstraete and Salvador Adrian Ferrandis Vallterra
2016
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2753854
Western Blue Chip Economic Forecast
Arizona State University
Viewpoints which Matter 