The Unassuming Economist

From a paper by Luciano Vereda, Helder Ferreira de Mendonça, and George Morcerf:

“Our study advances the modelling of forecast revisions by accounting for the nuanced impact of informational shocks across different time horizons. Specifically, we introduce modifications to the error structure of regression models used to detect biases in macroeconomic forecasts. Drawing on consensus forecasts of inflation and output growth from the central banks of Brazil, Chile, and Mexico, our approach offers a nuanced understanding of bias estimation uncertainty, leading to a more robust rejection of the null hypothesis of no biases. By elucidating the differential effects of informational shocks on forecast accuracy across time periods, our findings not only contribute to the refinement of forecasting methodologies but also have implications for policymakers and economic analysts striving for more accurate and reliable predictions in dynamic economic environments.”