کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7408616 | 1481447 | 2013 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Analyzing fixed-event forecast revisions
ترجمه فارسی عنوان
تجزیه و تحلیل تجدید نظر پیش بینی رویداد ثابت
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کلمات کلیدی
ارزیابی پیش بینی ها، پیش بینی اقتصاد کلان، عقلانیت، بینش، بازده ضعیف، پیش بینی رویداد ثابت،
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and one-period lagged revisions should be zero. The empirical findings in the literature suggest that this null hypothesis of zero correlation is rejected frequently, and the correlation can be either positive (which is widely interpreted in the literature as “smoothing”) or negative (which is widely interpreted as “over-reacting”). We propose a methodology for interpreting such non-zero correlations in a straightforward and clear manner. Our approach is based on the assumption that numerical forecasts can be decomposed into both an econometric model and random expert intuition. We show that the interpretation of the sign of the correlation between the current and one-period lagged revisions depends on the process governing intuition, and the current and lagged correlations between intuition and news (or shocks to the numerical forecasts). It follows that the estimated non-zero correlation cannot be given a direct interpretation in terms of either smoothing or over-reaction.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 29, Issue 4, OctoberâDecember 2013, Pages 622-627
Journal: International Journal of Forecasting - Volume 29, Issue 4, OctoberâDecember 2013, Pages 622-627
نویسندگان
Chia-Lin Chang, Bert de Bruijn, Philip Hans Franses, Michael McAleer,