For short forecast horizons, we find statistical evidence that the oil price volatility observed ex post explains ex-ante disagreement between oil price forecasters of the ECB’s professional survey. Since the forecasts considered are quarterly average prices, the observed disagreement is...

Using the Carlson and Parkin (1975) framework and employing the Pesaran–Timmermann (1992) Predictive Failure statistic, we evaluate several consensus forecast series from CESIfo's World Economic Survey. Several issues are examined related to interpreting qualitative survey responses. We define...

Germany's export market share increased since 2000, while most industrial countries experienced declines. This study explores four explanations and evaluates their empirical contributions: (i) improved cost competitiveness, (ii) ties to fast growing trading partners, (iii) increased demand for...

We show that systematic forecast errors reveal that the Fed is "surprised" by real and inflationary cycles. The Fed knows the state of the economy for the current quarter, but cannot predict it one-quarter ahead.

Campbell and Vuolteenaho (CV, 2004) empirically decompose the S&P 500's dividend yield from 1927 to 2002 to derive a measure of residual mispricing attributed to inflation illusion. They argue that the strong positive correlation between the mispricing component and inflation is strong evidence...