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TSUCHIYA YOICHI
Department Undergraduate School , School of Commerce Position Professor |
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| Language | English |
| Publication Date | 2013/01 |
| Type | Academic Journal |
| Peer Review | Peer reviewed |
| Title | Are government and IMF forecasts useful? An application of a new market-timing test |
| Contribution Type | Sole-authored |
| Journal | Economics Letters |
| Journal Type | Another Country |
| Publisher | ELSEVIER SCIENCE SA |
| Volume, Issue, Page | 118(1),pp.118-120 |
| Author and coauthor | Yoichi Tsuchiya |
| Details | 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 |
| URL for researchmap | http://orcid.org/0000-0003-2485-3959 |