ANALYZING THE RELATIONSHIPS BETWEEN SURVEY FORECASTS FOR DIFFERENT VARIABLES AND COUNTRIES

Анотація

This paper evaluates the quality of survey forecasts, their accuracy and
unbiasedness, and their overall consistency. The paper also tries to find out
whether the relationships between economic variables are the same in survey
data and in the actual data. In other words we analyze whether the data
generating mechanisms of forecast values and actual data coincide. The
analysis deals with three countries/economic areas: the Euro Area, Japan
and the US and makes use of different surveys and data frequencies. Since
the results are somewhat blurred by the recent 2008-2010 financial crisis
thus inclusion of the crisis period makes a lot of difference in main results.
Even so, we find that the basic features of the data have quite few alarming
features. Different surveys come quite close to each other and results for
different countries/economic areas are reasonably similar. It is only that we
find some evidence that the relationships between economic variables in the
survey data are different from actual data. Moreover, we find that forecast
errors are quite closely related to dispersion of survey respondents’
forecasts. Thus, increased forecast uncertainty seems to be positively related
to size of forecast errors.
Key words: Forecasting, Survey data, Phillips curve, Expectations