Wishful Bias in Predicting US Recessions: Indirect Evidence
Economics. EC. Высшая школа экономики , 2016. No. 135.
There is evidence in the economic literature that professional forecasters are unsuccessful in predicting recessions, but the reasons for these failures are still not clear. Meanwhile, this phenomenon has been little studied on the basis of quarterly estimates for various target horizons. We analysed quarterly consensus forecasts of real GDP growth rates and probabilities of recession taken from the Survey of Professional Forecasters (SPF) conducted by PhilFed and established several stylized facts including: “alarm signals” usually appear only after cyclical peaks; consensus forecasts of recessions for distant target horizons (more than two quarters) have never met except several quarters after the second oil shock; as a rule, pre-recession probabilities of recessions are much less than 50%; the expected durations of recession are less than actual ones; the Mincer-Zarnowitz test with a dummy for recessions reveals that SPF give biased forecasts of real GDP growth rates for almost all target horizons; experts regularly overestimate growth rates during recessions; adding a dummy for recessions significantly increases adjusted R2s; consensus forecasts clearly signal a recession only after a black swan; the majority of experts avoid predicting declines in real GDP before a recession; depth of contraction is even more underestimated for quarters after black swans. None of these stylized facts proves the unwillingness of professional forecasters to predict recessions (especially prolonged ones) in a direct way. However, in our view, together they constitute indirect evidence for the existence of a wishful bias against predicting recessions. If this bias exists, customers of SPF forecasts should take this into account in their decision-making processes.
Research target: Economics and Management
Priority areas: economics
, , Forecasting Russian macroeconomic indicators with BVAR / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2015. No. 105.
This paper evaluates the forecast performance of Bayesian vector autoregressions on Russian data. We estimate BVAR models of different size and compare the accuracy of their out-of-sample forecasts with those obtained with unrestricted VARs and RW with drift. We show that many Russian macroeconomic indicators can be forecast by Bayesian VAR more accurately than by ...
Added: October 23, 2015
, , Демографическое обозрение 2019 Т. 6 № 2 С. 104-141
According to the May Presidential Decree (2018), one of the national goals and strategic objectives of the development of the Russian Federation for the period up to 2024 is “ensuring sustainable natural growth in the population of the Russian Federation and increasing life expectancy to 78 years”. Thus, the increased need to monitor the current demographic situation, the study ...
Added: September 2, 2019
Концепция/технология совместного планирования, прогнозирования и пополнение запасов (CPFR) как пример интеграции партнеров в цепи поставок
, , Логистика и управление цепями поставок 2007 № 3 С. 64-80
Recently the technology «Mutual planning, forecasting and stock replenishment» is attracting more and more attention of logisticians, marketing and strategic management specialists. The basic idea of CPFR consists of combining efforts of contactors within constructed supply chain for satisfying needs of clients by integrating basic marketing and logistic business processes. The aim of the article ...
Added: December 14, 2012
, , , Technological Forecasting and Social Change 2015 Vol. 95 P. 294-308
The role of China in the world economy is constantly growing. In particular we observe that it plays more and more important role in the support of theworld economic growth (as well as high prices of certain very important commodities). In the meantime the perspectives of the Chinese economy (as well as possible fates of ...
Added: October 25, 2014
Метод прогнозирования вероятностей актуализации последствий принятых решений в условиях неопределенности
, Менеджмент в России и за рубежом 2013 № 6 С. 21-29
A new method to predict the probabilities of future events that are consequences of the subject, are presented. The method is based on combining the two types of forecasts – forecasted events using statistical data predictions for previous periods, as well as subjective, using expert estimates, using new information. Shows that an objective forecast is ...
Added: September 2, 2013
, , , Экономический журнал Высшей школы экономики 2015 Т. 19 № 4 С. 534-553
At first, we discuss whether the concept of economic cycles is at all applicable to the realities of the Russian economy. As for several subperiods during the last 35 years, it has been not only market but planned and transformed also, this issue is arguable. But in our opinion, all mid-term factors of total economic ...
Added: November 6, 2015
Прогнозирование добычи природного газа ПАО «Газпром» и его производственного потенциала в условиях внешнеэкономических ограничений
, Экономика и математические методы 2017 Т. 53 № 4 С. 26-35
This study is devoted to forecasting the Russian Gazprom natural gas production from the Tyumen region's fields and its production potential under in the context of the Russian economy crises and foreign economic restrictions that has been occurred since 2014, including a reduction in external and domestic demand for all Russian natural gas as well ...
Added: August 31, 2017
Assessing Forecasting Performance of Business Tendency Surveys during the Great Recession: Evidence for Russia
, , , Assessing Forecasting Performance of Business Tendency Surveys during the Great Recession: Evidence for Russia / KOF Swiss Economic Institute. Series KOF "KOF Working Papers". 2012. No. 306.
This study investigates usefulness of business tendency surveys in industrial sector for out-of-sample prediction of growth of industrial production in Russia. A special attention is paid to performance of survey-augmented models during the recent Great Recession 2008/2009. Using the real-time data vintages of the index of industrial production in Russia we conclude that the use ...
Added: April 12, 2013
Прогнозирование основных показателей фондового рынка России авторегрессионными моделями с распределенными лагами
, , et al., Аудит и финансовый анализ 2016 № 3 С. 128-133
This work is devoted to the analysis and forecasting of the main indicators of the Russian stock market ‒ the indices of the Russian Trading System and the Moscow Interbank Currency Exchange. Autoregressive models with distributed lags describing the behavior of these indices are constructed. On the basis of the proposed models, a retrospective forecasting ...
Added: June 26, 2016
, Non-Keynesian savings of Russians / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2015. No. 20.
Russian recession of 2014/2015 began with ruble run and rise of inflation. It is just the opposite of the western-type deflationary slump combined with money hoarding. Does it mean that Russians need different micro-model to describe saving and consumption behavior? This study show that work-horse log-linearized rational SDF with CRRA utility still provides good explanation ...
Added: November 20, 2015
, Проблемы теории и практики управления 2016 № 6 С. 109-114
Methodological issues related to designing a system of indicators for tracing Russian business cycle are discussed. Several definitions of economic cycles in their application to the Russian economy are considered. Possible approaches to dating turning points, constructing composite cyclical indicators and their using for monitoring and forecasting cyclical trajectory are analyzed. ...
Added: June 29, 2016
Российская экономика после присоединения Крыма: новые реалии и перспективы развития. [Текст] : докл. к XVI Апр. меж- дунар. науч. конф. по проблемам развития экономики и общества
, , et al., М. : Издательский дом НИУ ВШЭ, 2015
Мы попытались оценить возможные последствия кризиса для российской экономики в том случае, если надежды на возврат цен на нефть до 100 долл./барр. не оправдаются, а действие взаимных санкций между Россией и западными странами останется. При сохранении цен на нефть на уровне около 50 долл./барр. и тенденции к международной изоляции России объем ВВП в реальном выражении ...
Added: April 15, 2015
, , , Foresight 2017 Vol. 19 No. 5 P. 473-490
Purpose Dynamic changes in the world bring challenges for making long-term future-oriented policy and strategy. A number of recent developments like drops in oil prices, increasing global conflicts, mass immigration, and economic stagnation have had disruptive effects on long-term policies and strategies. This new fast-changing landscape requires approaches and tools, which may help to practice adaptive ...
Added: September 12, 2017
, , , Пермь : Пермский государственный университет, 2011
Пособие подготовлено авторами на основе опыта преподавания эконометрики для студентов экономических факультетов ПермГНИУ и НИУ ВШЭ – Пермь. В учебном пособии изложены основные сведения по разделам курса «Эконометрика». Помимо необходимого теоретического материала приведено много примеров практического применения теоретических результатов. Большое количество практических примеров, приложений и статистических таблиц, а также заданий для самостоятельной работы студентов призвано ...
Added: February 5, 2013
, Научный журнал НИУ ИТМО. Серия: Экономика и экологический менеджмент 2015 Т. 21 № 2 С. 77-84
This article discusses the range of issues concerning the laws governing the formation of growth factors in the value of the interaction of industrial firms with a bank in a recession. Purpose - to test the installation of the conceptual model of investment and lending activities of industrial companies for evaluation of management effectiveness. In ...
Added: April 17, 2015
Краткосрочное прогнозирование производства с использованием комплекснозначной модели производственной функции
, , Экономика и предпринимательство 2015 № 4 (ч.1) С. 486-488
Article considers problems of an assessment of efficiency of company’s activity on the basis of complex indicators of production results and resources. Tools of complex-valued economy – the new scientific direction having the theory of functions of complex variables as the basis – are used to modeling of economic dependences. The properties of exponential production ...
Added: June 5, 2015
Russian cyclical indicators and their usefulness in real time: An experience of the 2008-09 recession
, Journal of Business Cycle Measurement and Analysis 2014 No. 1 P. 103-128
This report investigates the predictability of cyclical turning points in Russia. For years, anyone interested in Russia had access to a full set of common tools for business cycle analysis, such as several composite leading indicators, a purchasing managers’ index, enterprise and consumer sentiment indexes, and so on. However, the 2008-09 world financial crisis spread ...
Added: July 18, 2014
, Экономика и менеджмент систем управления 2013 № 1.1(7) С. 181-189
Method for estimating the probabilities of future events is developed. It is shown that in the presence of statistical data on the accuracy of past forecasts, the probabilities of future events are eigenvector of matrix for accuracy expert corresponding to its eigenvalue. ...
Added: September 2, 2013
, , , Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices / Высшая школа экономики. Series EC "Economics". 2016. No. 122.
This paper establishes a reference chronology for the Russian economic cycle from the early 1980s to mid-2015. To detect peaks and troughs, we tested nine monthly indices as reference series, three methods of seasonal adjustments (X-12-ARIMA, TRAMO/SEATS, and CAMPLET), and four methods for dating cyclical turning points (local min/max, Bry-Boschan, Harding-Pagan, and Markov-Switching model). As ...
Added: January 22, 2016
, Проблемы управления 2017 № 4 С. 37-44
This research is devoted to the investigation of the changes in the nature of the largest Russian banks policies regarding the control of risks and capital adequacy caused by the implementation of the new international business standards. The dynamic analysis of indicators used by banks internally for the capital adequacy assessment was performed within this ...
Added: November 27, 2017
, Predicting US Recessions: Does a Wishful Bias Exist? / Высшая школа экономики. Series EC "Economics". 2014. No. 77.
There is evidence in the economic literature that near cyclical peaks an optimistic bias exists in private expert forecasts of real GDP growth rates. Other evidence concerns differences in the accuracy of GDP forecasts made during expansions and those made during contractions. It has also been hypothesized that a wishful bias may hamper the ability ...
Added: November 28, 2014
Leading indicators of turning points of the business cycle: panel data analysis for OECD countries and Russia
, Leading indicators of turning points of the business cycle: panel data analysis for OECD countries and Russia / Высшая школа экономики. Series EC "Economics". 2014.
The main objective of this paper is to develop leading indicators of business cycle turning points for OECD countries and Russia, in order to reveal common factors of their macroeconomic processes over a long period of time. To predict cycle turning points, leading indicator models with a discrete dependent variable reflecting a business cycle phase ...
Added: February 20, 2014
Inverse problems in Pareto’s demand theory and their applications to analysis of stock market crises
, , , Journal of Inverse and Ill-posed problems 2016 Vol. 26 No. 1 P. 95-108
We develop an approach to analysis of stock market crises based on the generalized nonparametric method. The generalized nonparametric method is based on solvability and regularization of ill-posed inverse problem in Pareto's demand theory. Our approach allows one to select a few companies that may be considered as the main reason for the crisis. We ...
Added: March 5, 2019
, Вопросы экономики 2016 № 12 С. 129-146
The article compares the accuracy of point forecasts made with a structural dynamic stochastic general equilibrium model (DSGE) to those made with vector autoregressions estimated by OLS (VAR) and by Bayesian methods (BVAR).The main question addressed in the article is whether DSGE-based forecasts are as accurate as non-structural model forecasts. The comparison is made on ...
Added: December 9, 2016