The forecasting performance of a Global VAR model of actual and expected outputs in the G7 economies is compared with that of alternative models to judge the usefulness of modelling cross-country interdependencies and employing survey data. Both effects are found to be important in...

We investigate the added value of combining density forecasts for asset return prediction in a specific region of support. We develop a new technique that takes into account model uncertainty by assigning weights to individual predictive densities using a scoring rule based on the censored...

We propose new methods for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive...

We propose to assess the performance of k forecast procedures by exploring the distributions of forecast errors and error losses. We argue that non systematic forecast errors minimize when their distributions are symmetric and unimodal, and that forecast accuracy should be assessed through...

Although there have been many evaluations of the Fed Greenbook forecasts, we analyze them in a different dimension. We examine the revisions of these forecasts in the context of fixed event predictions to determine how new information is incorporated in the forecasting process. This analysis...

In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between staff at the two institutions, allowing us to study the...

The recent global financial crisis and the subsequent economic recession have revitalized the discussion on the causal relationship between financial and economic sectors. This study examines financial and economic indices developed by the Federal Reserve Banks of Kansas City and Chicago,...

The Czech National Bank (CNB) conducts a monthly survey to collect domestic and foreign analysts’ forecasts of several economic and financial variables. Among these are the 2-week repo rate (which is the monetary policy interest rate set by the CNB), the 1-year Prague interbank offer rate and...

We explore the normative fiscal assessments of the Finance Commission of India, and realisation of fiscal policy with regard to Central Finances over the period 1990-2012. We employ the Theil's inequality coefficient to investigate the magnitude of assessment errors and its partitioning in to...