Consumer sentiments indices are widely used by business and government. Their potential for forecasting future economic activity is the subject of ongoing research. This paper aims to assess the directional accuracy and potential value to external users of households' sentiments data compiled by...

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors serially uncorrelated at the single-period horizon with increasing...

Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a wide range of forecast horizons and allow for estimated as...

We argue that the current framework for predictive ability testing (e.g., West, 1996) is not necessarily useful for real-time forecast selection, i.e., for assessing which of two competing forecasting methods will perform better in the future. We propose an alternative framework for...

The efficient market hypothesis gives rise to forecasting tests that mirror those adopted when testing the optimality of a forecast in the context of a given information set. However, there are also important differences arising from the fact that market efficiency tests rely on establishing...

Data sharing is common practice in forecasting experiments in situations where fresh data samples are difficult or expensive to generate. This means that forecasters often analyze the same data set using a host of different models and sets of explanatory variables. This practice introduces...

When choosing evaluation measures for variance and covariance forecasts one has to consider what the actual purpose of these forecasts is. In this paper we extend the results of Gibson and Boyer (1998) by looking at portfolios of rainbow currency options and how simulated trading of such options...

Artículo de revista ; The forecasting of macroeconomic variables is an important task of the Banco de España for the satisfactory monitoring of the economic situation. Macroeconomic projections are made by combining various econometric models with expert judgement. This article compares the...