ESRI Discussion Paper Series No.305
Predicting Business Cycle Phases by Professional Forecasters- Are They Useful ?

Nobuo Iizuka
Associate professor,Faculty of Economics, Kanagawa University

Abstract

Directional analysis is employed to evaluate the rationality and usefulness of a data set of monthly forecasts for the coincident index in ESRI's Indexes of Business Conditions by professional forecasters. Using Japanese ESP Forecast Survey data, our findings indicate that consensus forecasts with horizons of up to four months are valuable, whereas the Leading Index in ESRI's Indexes of Business Conditions is only valuable with horizons of up to two months. This finding suggests that the predictability of Leading DI can be improved with the aid of coincident DI forecasts.


Structure of the whole text(PDF-Format 1 File)

  1. Full Text別ウィンドウで開きます。(PDF-Format 196 KB)
  2. page1
    Abstract
  3. page1
    1 Introduction
  4. page3
    2 Statistical Method
    1. page3
      2.1 2x2 Contingency Table
    2. page3
      2.2 Test statistics
      1. page3
        2.2.1 Fisher's Exact Test
      2. page3
        2.2.2 Pesaran and Timmerman's(1992) Test
      3. page4
        2.2.3 Pesaran and Timmerman's(2009) Test
  5. page5
    3 Data
    1. page5
      3.1 Actual Data
      1. page5
        3.1.1 Indexes of Business Condition
      2. page5
        3.1.2 Quarterly Estimates of GDP
    2. page5
      3.2 Forecast Data
      1. page5
        3.2.1 The ESP Forecast Survey
      2. page6
        3.2.2 Stylized Facts of Forecasts
      3. page7
        3.2.3 LDI of Indexes of Business Condition
  6. page7
    4 Results
    1. page7
      4.1 Performance of Coincident DI
    2. page8
      4.2 Comparing GDP Growth Forecasts
    3. page8
      4.3 Comparing with LDI
  7. page8
    5 Conclusions
  8. page8
    6 Appendix
  9. page9
    References
  10. page11
    Table 1: 2x2 Contingency Table
  11. page11
    Table 2: Example of Data Release Schedule
  12. page12
    Table 3: Summary of Forecasting Coincident DI
  13. page12
    Table 4: Summary of GDP Growth Forecast
  14. page13
    Table 5: Result of Business Conditions Forecast : Real-time Data
  15. page13
    Table 6: Result of Business Conditions Forecast : Historical Data
  16. page14
    Table 7: Result of GDP Growth Forecast : Real-time Data
  17. page14
    Table 8: Result of GDP growth Forecast : Historical data
  18. page15
    Table 9: Result of Leading Index
  19. page15
    Table 10: Distribution of rates of Individual Forecasters' response
  20. page16
    Table 11: Result of Business Conditions Forecast: All data
  21. page16
    Table 12: Result of Business Conditions Forecast: data excluding "Flat" answers
  • 1-6-1 Nagata-cho, Chiyoda-ku, Tokyo 100-8914, Japan.
    Tel: +81-3-5253-2111