Prague Economic Papers 2017, 26(2):155-169 | DOI: 10.18267/j.pep.601

GDP Forecasting by Czech Institutions: An Empirical Evaluation

Jiří Šindelář
University of Finance and Administration, Prague, Czech Republic (jiri.sindelar@vsfs.cz)

This paper evaluates the accuracy of real GDP growth forecasts published in the period 1995-2013 by two Czech institutions: the Ministry of Finance (MF) and the Czech National Bank (CNB). A two-stepped approach is adopted: first a battery of forecasting errors (MAE, RMSE, MASE) is calculated, complementary to evaluation papers already available. Then statistical analysis is carried out by comparing both MF and CNB forecasts with OECD, European Commission and consensus benchmarks (Kruskal-Wallis test), assessing the presence of systemic bias (Wilcoxon test) and determining their incremental improvement (Page trend test). The results show that although some error patterns might suggest performance deficiencies (i.e. during the recession periods), the accuracy of forecasts prepared by both the MF and CNB does not differ significantly from the benchmark forecasts; MF and CNB predictions do not contain systemic bias and their accuracy improves as the horizon shortens. The paper also highlights several methodological shortcomings in the internal evaluations conducted by both institutions, indicating a potential for further improvement.

Klíčová slova: GDP forecasting, accuracy measures, Ministry of Finance, Czech National Bank
JEL classification: E37, E66, H68, O47

Zveřejněno online: 8. září 2016; Zveřejněno: 1. duben 2017  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Šindelář, J. (2017). GDP Forecasting by Czech Institutions: An Empirical Evaluation. Prague Economic Papers, 26(2), 155-169. doi: 10.18267/j.pep.601
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Allan, G. (2013). Evaluating the Usefulness of Forecasts of Relative Growth. Strathclyde Discussion Paper in Economics No. 12-14.
    2. Antal, J., Hlaváček, M., Horvath, R. (2008). Do Central Bank Forecast Errors Contribute to the Missing of Inflation Targets? The Case of the Czech Republic. Czech Journal of Economics and Finance (Finance a uver), 58(09-10), 434-453. Available at: http://journal.fsv.cuni.cz/storage/1142_1142_3__antal-hlavacek-horvath.pdf
    3. Antoničová, Z., Musil, K., Růžička, L., Vlček, J. (2009). Evaluation of the CNB's Forecasts. Economic Research Bulletin, 7(1), 8-10. Available at: http://www.ČNB.cz/en/research/research_publications/erb/download/ERB_No1_2009.pdf
    4. Armstrong, J. S., Collopy, F. (1992). Error Measures for Generalizing about Forecasting Methods: Empirical Comparisons. International Journal of Forecasting, 8(1), 69-80, http://dx.doi.org/10.1016/0169-2070(92)90008-w Přejít k původnímu zdroji...
    5. Armstrong, J. S. (2001). Evaluating Forecasting Methods, in Armstrong, J. S., ed., Principles of Forecasting. Kluwer Academic Publishers, Norwell, pp. 443-472. Přejít k původnímu zdroji...
    6. Arnoštová, K., Havrlant, D., Růžička, L., Tóth, P. (2011). Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators. Czech Journal of Economics and Finance (Finance a úvěr), 6, 566-583. Available at: https://www.ČNB.cz/cs/vyzkum/vyzkum_publikace/ČNB_wp/2010/ČNBwp_2010_12.html
    7. Bai, B., Ng, S. (2005). Tests for Skewness, Kurtosis, and Normality for Time Series Data. Journal of Business & Economic Statistics, 23(1), 49-60, http://dx.doi.org/10.1198/ 073500104000000271 Přejít k původnímu zdroji...
    8. Barker, T. (1985). Forecasting the Economic Recession in the UK 1979-1982: A Comparison of Model-Based ex ante Forecasts. Journal of Forecasting, 4(2), 133-151, http://dx.doi.org/10.1002/for.3980040204 Přejít k původnímu zdroji...
    9. Boček, J. (2012). Prognózy HDP: Kdo je nejpřesnější? GDP Forecast: Who is the Most Accurate? Available at: http://data.blog.ihned.cz/c1-58291130-prognozy-hdp-kdo-je-nejpresnejsi
    10. Campbell, B., Ghysels, E. (1995). Federal Budget Projections: A Nonparametric Assessment of Bias and Efficiency. The Review of Economics and Statistics, 77(1), 17-31, http://dx.doi.org/10.2307/2109989 Přejít k původnímu zdroji...
    11. Daníelsson, Á. (2008). Accuracy in Forecasting Macroeconomic Variables in Iceland. The Central Bank of Iceland Working Paper No. 39.
    12. Hyndman, R. J., Koehler, A. B. (2006). Another Look at Measures of Forecast Accuracy. International Journal of Forecasting, 22(4), 679-688, http://dx.doi.org/10.1016/j.ijforecast.2006.03.001 Přejít k původnímu zdroji...
    13. Hibon, M., Crone, S., Kourentzes, N. (2012). Statistical Significance of Forecasting Methods. Paper presented at the 32nd Annual International Symposium on Forecasting, Boston, MA, USA.
    14. Christensen, J. H., Diebold, F. X., Rudebusch, G., Strasser, G. (2007). Multivariate Comparisons of Predictive Accuracy. University of Pennsylvania working paper. Available at: http://www.econ.uconn.edu/Seminar%20Series/strasser08.pdf
    15. Keereman, F. (1999). The Track Record of the Commission Forecasts (No. 137). Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
    16. Kirchgässner, G. (1993). Testing Weak Rationality of Forecasts with Different Time Horizons. Journal of Forecasting, 12(7), 541-558, http://dx.doi.org/10.1002/for.3980120702 Přejít k původnímu zdroji...
    17. Makridakis, S., Hibon, M. (1995). Evaluating Accuracy (or Error) Measures. INSEAD Working Paper. Available at: http://www.insead.edu/facultyresearch/research/doc.cfm?did=46875
    18. McNees, S. K., Ries, J. (1983). The Track Record of Macroeconomic Forecasts. New England Economic Review, 18(5), 25-42.
    19. Miao, W., Gel, Y. L., Gastwirth, J. L. (2006). A New Test of Symmetry about an Unknown Median, in Hsiung, A. C., Ying, Z., Zhang, C. H., eds., Random Walk, Sequential Analysis and Related Topics - A Festschrift in Honor of Yuan-Snih Chow. World Scientific Publisher, Singapore. Přejít k původnímu zdroji...
    20. Milburn, T. W. (1978). Successful and Unsuccessful Forecasting in International Relations. Forecasting in International Reations: Theory, Methods, Problems, Prospects. Freeman, San Francisco, 79-91.
    21. Ministry of Finance, Czech Republic (2013). Makroekonomické predikce na MF ČR - pohled do zpětného zrcátka. Macroeconomic Forecasts at MFCR - Rear - view Mirror. Prague: Ministry of Finance. Available at: http://www.mfcr.cz/assets/cs/media/Makro-ekonomicka-predikce_2013-Q3_Makroekonomicke-predikce-na-MF-CR-pohled-do-zpetneho-zrcatka-cervenec-2013.pdf
    22. Ministry of Finance, Czech Republic (2014). Makroekonomická predikce - leden 2014. Macroeconomic Forecasts - January 2014. Prague: Ministry of Finance. Available at: http://www.mfcr.cz/assets/cs/media/Makro-ekonomicka-predikce_2014-Q1_Makroekonomicka-predikce-komplet-ke-stazeni.pdf
    23. Mühleisen, M., Danninger, S., Hauner, D., Krajnyák, K., Sutton, B. (2005). How do Canadian Budget Forecasts Compare with Those of Other Industrial Countries? IMF Working Papers, 66(5), 1-49, http://dx.doi.org/10.5089/9781451860856.001 Přejít k původnímu zdroji...
    24. Novotný, F., Raková, M. (2011). Assessment of Consensus Forecasts Accuracy: The Czech National Bank Perspective. Czech Journal of Economics and Finance (Finance a Úvěr), 61(4), 348-366. Available at: http://journal.fsv.cuni.cz/storage/1218_str_348_366._-_novotnypdf.pdf
    25. Öller, L. E., Barot, B. (2000). The Accuracy of European Growth and Inflation Forecasts. International Journal of Forecasting, 16(3), 293-315, http://dx.doi.org/10.1016/s0169-2070(00)00044-3 Přejít k původnímu zdroji...
    26. Page, E. B. (1963). Ordered Hypotheses for Multiple Treatments: A Significance Test for Linear Ranks. Journal of the American Statistical Association, 58(301), 216-230, http://dx.doi.org/10.1080/01621459.1963.10500843 Přejít k původnímu zdroji...
    27. Polák, Z. (2011). Evaluation of Macroeconomic Forecasting Accuracy. Bachelor Thesis, Charles University in Prague. Available at: http://ies.fsv.cuni.cz/default/file/download/id/18390
    28. Soukup, J. (2012). The Accuracy of Macroeconomic Forecasts in the years 2006-2011, in Löster, T., Pavelka, T., ed., The 6th International Days of Statistics and Economics - Conference Proceedings. Melandrium, Prague, pp. 1043-1053.
    29. Wilcoxon, F. (1945). Individual Comparisons by Ranking Methods. Biometrics Bulletin, 1(6), 80-83, http://dx.doi.org/10.2307/3001968 Přejít k původnímu zdroji...

    Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah