Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys / Yin-Wong Cheung, Menzie D. Chinn.

Format:

Book

Author/Creator:

Cheung, Yin-Wong.

Contributor:

National Bureau of Economic Research.

Chinn, Menzie D.

Series:

Working Paper Series (National Bureau of Economic Research) no. w6926.

NBER working paper series no. w6926

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1999.

Summary:

We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of expectations with respect to the actual series. We also examine whether forecasts respond to error correction terms. Tests are applied to both final and preliminary versions of the data. We find that the Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate bond rate, GNP, the GNP deflator, unemployment and their forecasts are difference stationary. About half of the these pairs are cointegrated, with the unitary elasticity restriction seldom rejected. Similar results are obtained when using the originally-reported data.

Notes:

Print version record

February 1999.