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Published April 2014 | Submitted
Journal Article Open

Forecast revisions of Mexican inflation and GDP growth

Abstract

We analyze the forecasts of inflation and GDP growth contained in the Banco de México's Survey of Professional Forecasters for the period 1995–2009. The forecasts are for the current and the following year, and comprise an unbalanced three-dimensional panel with multiple individual forecasters, target years, and forecast horizons. The fixed-event nature of the forecasts enables us to examine their efficiency by looking at the revision process. The panel structure allows us to control for aggregate shocks and to construct a measure of the news that impacted expectations in the period under study. We find that respondents anchor to their initial forecasts, updating their revisions smoothly as they receive more information. In addition, they do not seem to use publicly-known information in an efficient manner. These inefficiencies suggest clear areas of opportunity for improving the accuracy of the forecasts, for instance by taking into account the positive autocorrelation found in forecast revisions.

Additional Information

© 2013 International Institute of Forecasters. Published by Elsevier B.V. Available online 6 December 2013. We thank Daniel Chiquiar, Nikita Perevalov, José Gonzalo Rangel and seminar participants at Banco de México and the XIV CEMLA Research Economists Meetings for helpful comments. The opinions in this paper correspond to the authors and do not necessarily reflect the point of view of the Banco de México.

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Created:
September 15, 2023
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October 23, 2023