Are experts probabilistic forecasts similar to the NBP projections?

Transcription

1 NBP Working Paper No. Are experts probabilistic forecasts similar to the NBP projections? Halina Kowalczyk, Ewa Stanisławska

2 NBP Working Paper No. Are experts probabilistic forecasts similar to the NBP projections? Halina Kowalczyk, Ewa Stanisławska Economic Institute Warsaw, 0

3 Halina Kowalczyk Economic Institute, Narodowy Bank Polski; Ewa Stanisławska Economic Institute, Narodowy Bank Polski; Acknowledgements: The authors would like to thank dr hab. Tomasz Łyziak and an anonymous referee for valuable comments. The paper expresses opinions of the authors and does not reflect a view of Narodowy Bank Polski. Published by: Narodowy Bank Polski Education & Publishing Department ul. Świętokrzyska / 00- Warszawa, Poland phone + ISSN 0-X Copyright Narodowy Bank Polski, 0

4 Contents Introduction Data: two kinds of forecasts. NBP fan charts. NBP Survey of Professional Forecasters. Problems related to comparing forecasts Comparing performance of probabilistic forecasts. Comment on methods. Results Assessing similarity of distributions. Comment on measurement. Results Conclusions References Appendix Comparison of point forecasts NBP Working Paper No.

5 Abstract Narodowy Bank Polski

6 Chapter NBP Working Paper No.

7 Narodowy Bank Polski

8 Chapter NBP Working Paper No.

9 Narodowy Bank Polski

10 Data: two kinds of forecasts Survey round Survey quarter Survey date Projection date Forecast for Projection before? 0q 0m0-0q - 0q 0m 0m 0q yes 0q 0m0 0m0 0q yes 0q 0m0 0m0 0q no - 0m q 0m 0m 0q yes 0q 0m0 0m0 0q yes 0q 0m0 0m0 0q no - 0m q 0m 0m 0q yes 0q 0m0 0m0 0q yes 0q 0m0 0m0 0q no - 0m q 0m 0m 0q yes NBP Working Paper No.

11 GDP data Survey Projection cutoff date relative to End of survey Actual value quarter Period earlier forecasts: 0q for 0q higher 0q for 0q higher 0q q for 0q 0q q q for 0q about the same about the same CPI data: Actual value relative to Period earlier forecasts: for 0m0, higher m, m for 0m0, about the same m0 for 0m, m for 0m0, m0 for 0m, m 0q for 0m0 about the same 0q q for 0q higher for 0m, m lower lower lower lower NBP interest rate change: -0 bp -0 bp Narodowy Bank Polski

12 Data: two kinds of forecasts Survey quarter Interest rate in NBP projection Implied interest rate predicted by experts 0q.0. 0q.0.0 0q.. 0q.. 0q.. 0q.. 0q.0. 0q.0.0 0q.0.0 0q.00. NBP Working Paper No.

13 Chapter Narodowy Bank Polski

14 Comparing performance of probabilistic forecasts f e = r, r, r, ] [ r r i f = [0.0,0.,0.,0.0] t NBP Working Paper No.

15 0 NBP RPS of inflation forecasts 0 NBP RPS of GDP growth forecasts Narodowy Bank Polski

16 Comparing performance of probabilistic forecasts RPS of GDP growth forecasts 0 0 RPS of inflation forecasts current year forecasts +q forecasts degrees line NBP Working Paper No.

17 Inflation forecasts, +q GDP growth forecasts, +q Benchmark NBP Benchmark NBP Benchmark NBP 0... Inflation forecasts, current year GDP growth forecasts, current year Benchmark NBP 0... share of outcomes below th percentiles share of outcomes between th and th percentiles share of outcomes between th and th percentiles share of outcomes above th percentiles Narodowy Bank Polski

18 Comparing performance of probabilistic forecasts NBP Inter-quantile range 0 NBP Inter-quantile range 0 0 Calibration 0 Calibration INF +q INF current year GDP +q GDP current year NBP Working Paper No.

19 Chapter Narodowy Bank Polski

20 Assessing similarity of distributions NBP Working Paper No.

21 A. Average distance of expert's forecast from NBP inflation projection B. Average distance of expert's forecast from aggregated inflation forecast C. Average ratio of IQR of expert's forecasts to IQR of NBP projection D. Average probability of inflation in target range NBP A. Average distance of expert's forecast from NBP GDP growth projection B. Average distance of expert's forecast from aggregated GDP growth forecast C. Average ratio of IQR of expert's forecasts to IQR of NBP projection 0 Narodowy Bank Polski

22 Assessing similarity of distributions Whole sample IQR<p(0.) p(0.) <IQR<p(0.) IQR>p(0.) Inflation forecasts Difference in central forecasts 0. 0.* 0.*** 0.*** Difference in IQRs 0.*** GDP growth forecasts Difference in central forecasts *** 0. 0.*** Difference in IQRs 0.*** NBP Working Paper No.

23 q 0q 0q 0q NBP 0 0q 0q 0q 0q 0q 0q 0q 0q 0q 0q 0q 0q 0q 0q 0q 0q inflation GDP growth Narodowy Bank Polski

24 Assessing similarity of distributions GDP growth forecasts inflation forecasts Average JS distance of experts forecasts from NBP projection RPS of inflation/gdp growth forecasts Inflation GDP growth 0. 0.*** NBP Working Paper No.

25 Inflation forecasts, +q GDP growth forecasts, +q RPS 0 RPS JS distance JS distance Narodowy Bank Polski

26 Assessing similarity of distributions Inflation forecasts GDP growth forecasts 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q 0Q NBP Working Paper No.

27 Chapter Narodowy Bank Polski

28 References NBP Working Paper No.

29 Narodowy Bank Polski

30 Appendix A. Mean absolute difference of expert forecasts and NBP central projection B. Mean absolute difference of expert forecast and last aggregated central forecast NBP C. Mean absolute error of central forecasts D. Mean absolute difference of expert forecast and NBP inflation target NBP NBP Working Paper No.

31 A. Mean absolute difference of expert forecast and NBP central projection B. Mean absolute difference of expert forecast and last aggregated central forecast NBP C. Mean absolute error of central forecasts 0 Narodowy Bank Polski

32 Appendix Central inflation forecast - experts and NBP, + q - 0 0q 0q 0q 0q data actual inflation rate (y/y) median of experts' forecasts range of experts' forecasts NBP central forecast Central GDP growth forecast - experts and NBP, + q 0 0q 0q 0q 0q data actual GDP growth rate (y/y) median of experts' forecasts range of experts' forecasts NBP central forecast NBP Working Paper No.

33 Deviation of experts' forecasts from inflation target q Deviation of NBP projection from inflation target Current inflation above.% Current inflation below.% Narodowy Bank Polski

34 Appendix Absolute difference fromnbp projection Absolute error of experts forecasts inflation GDP growth averages across experts, filtered panel 0.*** -0.0 Individual data, filtered panel 0.*** 0.*** Individual data, full panel 0.** 0.*** NBP Working Paper No.

35