Spreads versus Professional Forecasters as Predictors of Future Output Change

Journal of Forecasting, Forthcoming

11 Pages Posted: 23 Apr 2008 Last revised: 20 Apr 2009

See all articles by Kevin Aretz

Kevin Aretz

Alliance Manchester Business School

David A. Peel

Lancaster University - Lancaster University Management School

Date Written: April 21, 2008

Abstract

We examine whether real GDP forecasts obtained from the Survey of Professional Forecasters efficiently embody information in the term structure spread. To this end, we employ revised data as well as real-time vintage data, and we also allow for the possible impact of asymmetric loss functions. Assuming quadratic loss, our results suggest that the term structure spread does contain information useful for forecasting not reflected in the survey forecasts, at least over the longest forecast horizon. However, if we allow agents' loss functions to become more negatively skewed with the forecast horizon, then we cannot reject the rationality of the survey forecasts.

Keywords: Real GDP growth, Survey of Professional Forecasters, term structure

JEL Classification: E27, E4

Suggested Citation

Aretz, Kevin and Peel, David Alan, Spreads versus Professional Forecasters as Predictors of Future Output Change (April 21, 2008). Journal of Forecasting, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1123949

Kevin Aretz (Contact Author)

Alliance Manchester Business School ( email )

Crawford House
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Manchester M13 9PL, Lancashire
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+44(0) 161 275 6368 (Phone)
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HOME PAGE: http://www.kevin-aretz.com

David Alan Peel

Lancaster University - Lancaster University Management School ( email )

Bailrigg
Lancaster, LA1 4YX
United Kingdom
+44 (0)1524 593590 (Phone)
+44 (0)1524 594244 (Fax)

HOME PAGE: http://www.lancs.ac.uk/staff/peeld/

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