Accuracy, Unbiasedness and Efficiency of Professional Macroeconomic Forecasts: An empirical Comparison for the G7

In this paper, we use survey data to analyze the accuracy, unbiasedness, and the efficiency of professional macroeconomic forecasts. We analyze a large panel of individual forecasts that has not been analyzed in the literature so far. We provide evidence on the properties of forecasts for all G7 counties and for four diffierent macroeconomic variables. Our results show a high degree of dispersion of forecast accuracy across forecasters. We also find that there are large diffierences in the performance of forecasters not only across countries but also across diffierent macroeconomic variables. In general, forecasts tend to be biased in situations where forecasters have to respond to large structural shocks or gradual changes in the trend of a variable. Furthermore, while a sizable fraction of forecasters seem to smooth their GDP forecasts significantly, this does not apply to forecasts made for other macroeconomic variables.