Forecasting performance of private sector’s unemployment forecasts in advanced economies

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Abstract

This paper provides a full characterization of unemployment rate forecasts using the mean values from Consensus Economics for a sample of nine advanced economies between 1989 and 2012. It also assesses the performance of unemployment rate forecasts around business cycles’ turning points. We find evidence for biasedness, inefficiency or information rigidities and lack of accuracy of unemployment rate forecasts and the distribution of projection errors appears to be slightly twisted to over-prediction (which decreases during recession episodes). Additionally, there is a sense of ‘pessimism’ among forecasters during recovery periods.

Original languageEnglish
Pages (from-to)707-733
Number of pages27
JournalInternational Review Of Applied Economics
Volume31
Issue number6
DOIs
Publication statusPublished - 2 Nov 2017

Keywords

  • bias
  • efficiency
  • Forecast comparison
  • information rigidity
  • recession
  • recovery

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