Distinguishing Strong from Weak Signals in Economic Forecasts

 0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Eric Vansteenberghe

Ngôn ngữ: eng

Ký hiệu phân loại: 303.49 Social forecasts

Thông tin xuất bản: 2024

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 204861

We analyze the information embedded in forecasts by examining the moments of subjective probability distributions. Specifically, we propose that a forecast conveys a strong upward signal when the median exceeds a target, such as a central bank's 2% inflation threshold, coupled with positive skewness. Conversely, a median below the target with negative skewness signals strong downward expectations. In cases where the median and skewness diverge, the signal weakens, indicating mixed expectations. To formalize these insights, we develop a Signal Strength Indicator (SSI) that quantifies the consistency and directional alignment of forecast signals, assessing its predictive power within a Growth-at-Risk framework. Importantly, the SSI can be estimated without relying on parametric assumptions. Our findings indicate that the SSI offers valuable insights, suggesting it could serve as a practical tool for central banks to monitor expectations in real time.
Tạo bộ sưu tập với mã QR

THƯ VIỆN - TRƯỜNG ĐẠI HỌC CÔNG NGHỆ TP.HCM

ĐT: (028) 36225755 | Email: tt.thuvien@hutech.edu.vn

Copyright @2024 THƯ VIỆN HUTECH