ツチヤ　ヨウイチ   TSUCHIYA YOICHI   土屋　陽一    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2013/01
形態種別	学術雑誌
査読	査読あり
標題	Are government and IMF forecasts useful? An application of a new market-timing test
執筆形態	単著
掲載誌名	Economics Letters
掲載区分	国外
出版社・発行元	ELSEVIER SCIENCE SA
巻・号・頁	118(1),pp.118-120
著者・共著者	Yoichi Tsuchiya
概要	We investigate the directional accuracy of GDP and price forecasts by the Japanese government and the IMF with a new method developed by Pesaran and Timmermann [Pesaran, M.H., Timmermann, A., 2009. Testing dependence among serially correlated multi-category variables. Journal of the American Statistical Association 485, 325-337]. Extending the literature to government forecasts, our results illustrate an empirical application of the new test. Our findings provide positive evidence about the usefulness of IMF forecasts whereas they cast doubts about government forecasts. (C) 2012 Elsevier B.V. All rights reserved.
DOI	10.1016/j.econlet.2012.10.005
ISSN	0165-1765
PermalinkURL	http://www.scopus.com/inward/record.url?eid=2-s2.0-84868624344&partnerID=MN8TOARS
researchmap用URL	http://orcid.org/0000-0003-2485-3959