Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations

Detalhes bibliográficos
Autor(a) principal: Moreira, Inês Alexandra Marques
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/26823
Resumo: This dissertation focus, firstly, on evaluating the forecast accuracy of the macroeconomic variables, GDP growth and inflation, issued for Portugal for the current year, 6 months ahead, 1 year ahead and 18 months ahead. Regarding the period of the analysis, this paper studies a longer period (2002-2021), which includes forecasts from Central Bank of Portugal, Ministry of Finance, European Commission, Organization for Economic Cooperation and Development and International Monetary Fund and a shorter period (2016-2021), that also includes the Portuguese Public Finance Council. To evaluate and compare the accuracy of the forecasts, summary statistics are computed, namely the mean forecast error, the mean absolute forecast error and root mean squared forecast error. Moreover, tests for unbiasedness and efficiency are performed to assess whether the forecasts are optimal. By using the Diebold Mariano test and a modified version proposed later, the difference in accuracy between institutions is evaluated. Secondly, the goal is to combine the forecasts and analyze if the combined forecasts are better than the individual institutions’ forecasts. The results suggest that, in general, the Central Bank of Portugal is the best institution, especially for the longer period. The results for the shorter period are more inconsistent, due to the small number of observations. In most cases, forecasts are unbiased and efficient. Regarding the combination of forecasts, the average of all institutions has a better performance than the majority of single institutions.
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spelling Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizationsPrevisão económica -- Economic forecastForecast evaluationCombination of forecastsPortugalAvaliação de previsõesCombinação de previsõesThis dissertation focus, firstly, on evaluating the forecast accuracy of the macroeconomic variables, GDP growth and inflation, issued for Portugal for the current year, 6 months ahead, 1 year ahead and 18 months ahead. Regarding the period of the analysis, this paper studies a longer period (2002-2021), which includes forecasts from Central Bank of Portugal, Ministry of Finance, European Commission, Organization for Economic Cooperation and Development and International Monetary Fund and a shorter period (2016-2021), that also includes the Portuguese Public Finance Council. To evaluate and compare the accuracy of the forecasts, summary statistics are computed, namely the mean forecast error, the mean absolute forecast error and root mean squared forecast error. Moreover, tests for unbiasedness and efficiency are performed to assess whether the forecasts are optimal. By using the Diebold Mariano test and a modified version proposed later, the difference in accuracy between institutions is evaluated. Secondly, the goal is to combine the forecasts and analyze if the combined forecasts are better than the individual institutions’ forecasts. The results suggest that, in general, the Central Bank of Portugal is the best institution, especially for the longer period. The results for the shorter period are more inconsistent, due to the small number of observations. In most cases, forecasts are unbiased and efficient. Regarding the combination of forecasts, the average of all institutions has a better performance than the majority of single institutions.A presente dissertação, numa primeira fase, avalia a qualidade de previsões, crescimento do PIB e inflação, realizadas para Portugal para o ano corrente, e para os 6 meses, 1 ano e 18 meses seguintes. São considerados dois períodos de análise: um período mais longo (2002-2021) que inclui as previsões do Banco de Portugal, Ministério das Finanças, Comissão Europeia, a Organização para a Cooperação e Desenvolvimento Económico e o Fundo Monetário Internacional e um período mais curto (2016-2021) que inclui, para além das referidas, o Conselho das Finanças Públicas. Para avaliar e comparar a qualidade das previsões são usadas estatísticas descritivas, como o erro de previsão médio, o erro de previsão absoluto médio e a raiz quadrada do erro de previsão. Adicionalmente são realizados testes de enviesamento e eficiência, que são dois requisitos de previsões ótimas. De forma a avaliar se os erros de previsão são significativamente diferentes entre as instituições, usa-se o teste de Diebold Mariano e uma versão modificada proposta posteriormente. Numa segunda fase, o objetivo passa por combinar as previsões e analisar se apresentam uma melhor qualidade comparativamente com as instituições. No período mais longo, os resultados sugerem que o Banco de Portugal é a instituição com melhor desempenho. Relativamente ao período mais curto, os resultados são mais inconsistentes devido ao pequeno número de observações. Maioritariamente, as previsões são não enviesadas e eficientes. Em relação à combinação de previsões, a média de todas as instituições demonstra ter um desempenho melhor que muitas das instituições individualmente.2022-12-28T10:08:29Z2022-12-05T00:00:00Z2022-12-052022-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/26823TID:203130260engMoreira, Inês Alexandra Marquesinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:50:38Zoai:repositorio.iscte-iul.pt:10071/26823Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:25:01.232920Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
title Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
spellingShingle Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
Moreira, Inês Alexandra Marques
Previsão económica -- Economic forecast
Forecast evaluation
Combination of forecasts
Portugal
Avaliação de previsões
Combinação de previsões
title_short Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
title_full Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
title_fullStr Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
title_full_unstemmed Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
title_sort Evaluation and comparison of GDP growth and inflation forecasts for Portugal: National and international organizations
author Moreira, Inês Alexandra Marques
author_facet Moreira, Inês Alexandra Marques
author_role author
dc.contributor.author.fl_str_mv Moreira, Inês Alexandra Marques
dc.subject.por.fl_str_mv Previsão económica -- Economic forecast
Forecast evaluation
Combination of forecasts
Portugal
Avaliação de previsões
Combinação de previsões
topic Previsão económica -- Economic forecast
Forecast evaluation
Combination of forecasts
Portugal
Avaliação de previsões
Combinação de previsões
description This dissertation focus, firstly, on evaluating the forecast accuracy of the macroeconomic variables, GDP growth and inflation, issued for Portugal for the current year, 6 months ahead, 1 year ahead and 18 months ahead. Regarding the period of the analysis, this paper studies a longer period (2002-2021), which includes forecasts from Central Bank of Portugal, Ministry of Finance, European Commission, Organization for Economic Cooperation and Development and International Monetary Fund and a shorter period (2016-2021), that also includes the Portuguese Public Finance Council. To evaluate and compare the accuracy of the forecasts, summary statistics are computed, namely the mean forecast error, the mean absolute forecast error and root mean squared forecast error. Moreover, tests for unbiasedness and efficiency are performed to assess whether the forecasts are optimal. By using the Diebold Mariano test and a modified version proposed later, the difference in accuracy between institutions is evaluated. Secondly, the goal is to combine the forecasts and analyze if the combined forecasts are better than the individual institutions’ forecasts. The results suggest that, in general, the Central Bank of Portugal is the best institution, especially for the longer period. The results for the shorter period are more inconsistent, due to the small number of observations. In most cases, forecasts are unbiased and efficient. Regarding the combination of forecasts, the average of all institutions has a better performance than the majority of single institutions.
publishDate 2022
dc.date.none.fl_str_mv 2022-12-28T10:08:29Z
2022-12-05T00:00:00Z
2022-12-05
2022-10
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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