Accuracy, unbiasedness, and efficiency of current account growth forecast: Evidence from a large cross section of developed and developing economies

Figures & data

Table 1. Summary of recent studies

Study and period	Objective	Findings	Data source
Ager, Kappler, and Osterloh (2009)/1996–2006	Unbiasedness and information efficiency of average forecast of GDP and inflation of 12 industrial countries	Biased beyond 12-month horizon for all countries. Mixed results for below 12-month horizon. No informational efficiency.	Consensus Economics
Ashiya (2006)/1963–2003	Rationality of forecast revisions of G7 countries Real GDP and GDP deflator made by IMF and the OECD	60% of real GDP and 37% of GDP deflator forecasts are rational.	IMF and OECD
Bakshi and Yates (1998)/1994 −2000	Efficiency of Forecast Error and Forecast Revisions of UK Inflation	Forecasts are biased in general, but efficiency in forecast is not completely ruled out.	Merrill Lynch Consensus Survey
Batchelor (2007)/1990–2005	Unbiasedness and Efficiency of average and individual forecasts of Real GDP and Inflation rates of G7 countries	Average and individual forecasts are Biased and inefficient	Consensus Economics
Boero, Smith, and Wallis (2008)/1996–2005	Average and Individual forecast performance of UK Inflation and GDP growth rates	Unbiased and efficient in general	Bank of England
Bowles et al. (2007)/ 1999–2006	Performance of professional forecasts of GDP, inflation, unemployment rates of Euro area	Bias in individual and average forecasts	ECB professional survey
Chen et al. (2016)/1995–2015	Individual forecast of GDP and Inflation of 10 Asian countries	Bias in general	Consensus Economics
Dovern and Weisser (2011)/ 1991–2005	Individual forecasters performance of annual GDP growth rate, Inflation rate, private consumption expenditure and industrial production of G7 countries	Mixed results by variable, country and individual forecaster	Consensus Economics
Gallo, Granger, and Jeon (2002)/1993–96	Evolution of macroeconomic forecasts of GDP, Industrial production and Corporate profit of US, UK and Japan	Biased individual forecast behavior	Consensus Economics
Harvey, Leybourne, and Newbold (2001)/1990–1997	Individual forecasters performance of UK GDP growth rate, inflation rate, and unemployment rate	Consensus forecast are not optimal	Consensus Economics
Isikler, Lahiri, and Loungani (2006)/1989–2004	Forecast efficiency and degree of inefficiency using average data of Real GDP growth rate of 18 industrial countries	Forecasts are not efficient	Consensus Economics
Loungani (2001)/1989–98	Unbiasedness and efficiency of average forecast of GDP growth rate of 63 Developed and Developing countries	Biased and inefficient with some differences between the two groups	Consensus Economics
Nordhaus (1987)/1978–86	Efficiency of Forecast Errors and Forecast Revisions of Oil prices, Nuclear capacity, Energy consumption, Real GNP. Various countries	Forecast revisions are inefficient	DRI Inc., OECD, Eggers Consensus, UCLA, Wharton, Chase
Timmerman (2007)/1990–2003	Compare Performance of WEO forecast to Consensus Economics of GDP growth and inflation rates of 178 countries	WEO forecasts are biased in general. Performance of WEO and Consensus Economics are similar	World Economic Outlook and Consensus Economics
Schuh (2001)	Unbiasedness and efficiency of US real GDP growth rate, inflation rate, unemployment rate, nominal and real short-term interest rates	Forecasts are unbiased but inefficient in general. Individual forecasters are biased and inconsistent.	Survey of Professional forecast (SPF), Wall Street Journal, Blue chip Economic Indicator.

Table 2. Unbiasedness and efficiency of forecast errors (Equation 1). $F{E}_{-i,t}=a+bF{R}_{-i,t}+e_{-i,t}$

		Developed				Developing
Horizon	Coef.	Value	Std. error	t-Prob.	F-Prob. a = 0, b = 0	Value	Std. error	t-Prob.	F-Prob. a = 0, b = 0
1	a	0.015	0.088	0.867	0.000	−0.540	0.154	0.001	0.001
	b	0.386	0.101	0.000		0.518	0.164	0.002
2	a	−0.029	0.085	0.733	0.001	−0.580	0.147	0.000	0.014
	b	0.261	0.065	0.000		−0.020	0.181	0.913
3	a	−0.048	0.090	0.594	0.017	−0.586	0.151	0.000	0.001
	b	0.168	0.079	0.035		0.471	0.152	0.002
4	a	−0.009	0.099	0.925	0.017	−0.576	0.157	0.000	0.006
	b	0.112	0.188	0.553		0.123	0.186	0.510
5	a	−0.016	0.100	0.877		−0.600	0.164	0.000
	b	0.447	0.123	0.000	0.001	0.282	0.144	0.051	0.002
6	a	−0.022	0.101	0.828		−0.734	0.171	0.000
	b	0.348	0.090	0.000	0.001	0.229	0.164	0.164	0.001
7	a	−0.045	0.104	0.662		−0.817	0.172	0.000
	b	0.699	0.126	0.000	0.000	0.780	0.187	0.000	0.000
8	a	−0.052	0.102	0.609		−0.841	0.172	0.000
	b	0.695	0.167	0.000	0.005	0.142	0.101	0.161	0.000
9	a	−0.083	0.103	0.418		−0.949	0.194	0.000
	b	0.240	0.124	0.053	0.008	0.340	0.151	0.025	0.000
10	a	−0.132	0.107	0.217		−0.927	0.202	0.000
	b	0.204	0.076	0.008	0.014	0.005	0.092	0.957	0.000
11	a	−0.067	0.109	0.542		−0.929	0.215	0.000
	b	0.670	0.072	0.000	0.000	0.722	0.083	0.000	0.000
12	a	−0.025	0.115	0.827		−0.944	0.199	0.000
	b	0.414	0.088	0.000	0.000	0.934	0.107	0.000	0.000
13	a	0.062	0.120	0.606		−0.956	0.198	0.000
	b	0.332	0.129	0.010	0.000	0.215	0.163	0.188	0.000
14	a	−0.035	0.117	0.763		−0.966	0.208	0.000
	b	0.659	0.095	0.000	0.000	−0.002	0.145	0.988	0.003
15	a	−0.070	0.119	0.557		−0.922	0.229	0.000
	b	0.011	0.081	0.895	0.002	0.253	0.191	0.188	0.004
16	a	−0.182	0.144	0.209		−0.798	0.225	0.001
	b	0.255	0.206	0.216	0.007	0.875	0.169	0.000	0.000
17	a	−0.130	0.144	0.366		−0.921	0.218	0.000
	b	0.776	0.188	0.000	0.000	0.608	0.149	0.000	0.000
18	a	−0.084	0.126	0.507		−1.036	0.218	0.000
	b	0.792	0.082	0.000	0.000	0.249	0.160	0.122	0.001
19	a	−0.068	0.125	0.586		−1.065	0.225	0.000
	b	0.517	0.145	0.000	0.000	0.538	0.209	0.011	0.000
20	a	−0.047	0.127	0.713		−1.006	0.227	0.000
	b	0.262	0.129	0.043	0.006	0.285	0.216	0.188	0.001
21	a	−0.049	0.131	0.705		−0.873	0.219	0.000
	b	0.390	0.108	0.000	0.000	0.883	0.164	0.000	0.000
22	a	−0.107	0.136	0.430		−0.862	0.219	0.000
	b	0.184	0.091	0.043	0.003	−0.006	0.111	0.959	0.001
23	a	−0.120	0.128	0.347		−0.534	0.218	0.015
	b	0.779	0.068	0.000	0.000	0.830	0.085	0.000	0.000

Table 3. Efficiency of forecast revision (Equation 2). $F{R}_{-i,t}=a+bF{R}_{-i,t-1}+e_{-i,t}$

		Developed				Developing
Horizon	Coef.	Value	Std. error	t-Prob.	F-Prob. a = 0. b = 0	Value	Std. error	t-Prob.	F-Prob. a = 0, b = 0
1	a	0.071	0.050	0.160		0.064	0.065	0.320
	b	−0.088	0.060	0.140	0.876	−0.099	0.070	0.158	0.307
2	a	−0.025	0.071	0.723		0.013	0.054	0.816
	b	−0.075	0.054	0.167	0.336	−0.076	0.066	0.254	0.548
3	a	0.003	0.063	0.961		0.005	0.063	0.933
	b	−0.079	0.055	0.154	0.679	−0.100	0.063	0.113	0.638
4	a	0.018	0.026	0.476		−0.017	0.056	0.760
	b	0.118	0.049	0.017	0.531	−0.164	0.066	0.014	0.112
5	a	−0.013	0.043	0.762		0.115	0.069	0.095
	b	−0.106	0.053	0.047	0.367	0.083	0.060	0.169	0.213
6	a	0.013	0.059	0.825		0.100	0.073	0.171
	b	−0.076	0.052	0.146	0.399	0.045	0.070	0.519	0.908
7	a	0.017	0.046	0.713		0.028	0.063	0.656
	b	0.016	0.056	0.770	0.049	−0.053	0.067	0.428	0.285
8	a	0.035	0.034	0.295		0.132	0.111	0.236
	b	−0.074	0.056	0.181	0.164	−0.038	0.065	0.563	0.434
9	a	0.097	0.048	0.044		0.021	0.079	0.792
	b	−0.021	0.058	0.714	0.000	−0.096	0.061	0.117	0.922
10	a	−0.176	0.076	0.021		−0.075	0.140	0.594
	b	0.010	0.054	0.855	0.308	0.087	0.064	0.176	0.970
11	a	0.115	0.083	0.164		0.032	0.168	0.851
	b	−0.038	0.054	0.489	0.580	0.052	0.065	0.432	0.657
12	a	−0.178	0.071	0.013		0.138	0.093	0.140
	b	−0.115	0.055	0.037	0.105	−0.006	0.050	0.902	0.007
13	a	0.004	0.053	0.935		−0.040	0.107	0.709
	b	−0.082	0.056	0.148	0.615	−0.021	0.088	0.815	0.518
14	a	0.122	0.071	0.088		−0.028	0.101	0.781
	b	−0.056	0.058	0.333	0.831	−0.041	0.070	0.562	0.648
15	a	0.100	0.083	0.229		−0.014	0.074	0.853
	b	0.036	0.056	0.526	0.401	−0.177	0.062	0.005	0.167
16	a	0.017	0.039	0.670		−0.192	0.095	0.045
	b	0.120	0.056	0.033	0.913	−0.119	0.072	0.098	0.368
17	a	−0.075	0.045	0.096		0.229	0.093	0.014
	b	−0.129	0.059	0.029	0.327	0.063	0.063	0.322	0.965
18	a	−0.069	0.085	0.418		0.103	0.096	0.288
	b	−0.120	0.055	0.032	0.336	0.095	0.071	0.179	0.914
19	a	0.003	0.052	0.956		−0.044	0.076	0.562
	b	−0.082	0.060	0.174	0.000	0.025	0.071	0.721	0.780
20	a	−0.041	0.053	0.448		−0.103	0.069	0.135
	b	−0.069	0.054	0.204	0.760	−0.171	0.065	0.010	0.582
21	a	0.107	0.069	0.125		−0.044	0.088	0.614
	b	−0.194	0.058	0.001	0.109	−0.012	0.066	0.861	0.932
22	a	−0.057	0.084	0.496		0.048	0.133	0.720
	b	0.068	0.056	0.228	0.621	−0.059	0.068	0.385	0.625
23	a	0.119	0.104	0.256		−0.409	0.172	0.019
	b	0.004	0.055	0.937	0.889	0.033	0.067	0.621	0.278

Table 4. Efficiency of forecast revision (Equation 3). $F{R}_{-i,t}=a+bF{R}_{-i-1,t}+e_{-i,t}$

		Developed				Developing
Horizon	Coef.	Value	Std. error	t-Prob.	F-Prob. a = 0. b = 0	Value	Std. error	t-Prob.	F-Prob. a = 0, b = 0
1 and 2	a	0.066	0.048	0.172		0.086	0.060	0.151
	b	−0.129	0.036	0.000	0.480	−0.364	0.072	0.000	0.001
2 and 3	a	−0.026	0.062	0.673		−0.005	0.051	0.922
	b	−0.573	0.054	0.000	0.000	−0.191	0.051	0.000	0.093
3 and 4	a	0.000	0.062	0.998		−0.002	0.063	0.976
	b	−0.246	0.118	0.038	0.602	−0.291	0.075	0.000	0.080
4 and 5	a	0.017	0.028	0.551		−0.024	0.052	0.643
	b	−0.087	0.035	0.013	0.993	−0.008	0.046	0.866	0.303
5 and 6	a	−0.018	0.044	0.690		0.183	0.068	0.008
	b	−0.101	0.039	0.010	0.308	−0.228	0.061	0.000	0.027
6 and 7	a	0.051	0.060	0.399		0.096	0.065	0.137
	b	−0.285	0.073	0.000	0.080	−0.316	0.070	0.000	0.056
7 and 8	a	−0.013	0.043	0.772		0.035	0.058	0.547
	b	−0.340	0.071	0.000	0.001	−0.130	0.034	0.000	0.013
8 and 9	a	0.019	0.034	0.562		0.134	0.109	0.223
	b	−0.015	0.040	0.710	0.132	−0.166	0.085	0.053	0.223
9 and 10	a	0.095	0.045	0.035		−0.032	0.083	0.698
	b	−0.073	0.032	0.023	0.000	−0.023	0.038	0.553	0.779
10 and 11	a	−0.106	0.060	0.077		0.031	0.123	0.800
	b	−0.567	0.039	0.000	0.000	−0.426	0.048	0.000	0.000
11 and 12	a	0.102	0.083	0.221		−0.105	0.167	0.532
	b	0.090	0.066	0.169	0.533	0.074	0.091	0.414	0.841
12 and 13	a	−0.158	0.070	0.025		0.145	0.115	0.210
	b	−0.375	0.075	0.000	0.003	−0.583	0.095	0.000	0.000
13 and 14	a	0.078	0.049	0.114		0.003	0.079	0.967
	b	−0.293	0.040	0.000	0.000	−0.208	0.055	0.000	0.522
14 and 15	a	0.118	0.068	0.084		−0.044	0.093	0.641
	b	−0.171	0.046	0.000	0.200	−0.314	0.078	0.000	0.129
15 and 16	a	0.111	0.080	0.168		−0.017	0.080	0.835
	b	−0.549	0.115	0.000	0.006	−0.149	0.060	0.014	0.266
16 and 17	a	−0.018	0.039	0.652		−0.122	0.090	0.175
	b	−0.188	0.051	0.000	0.526	−0.105	0.061	0.087	0.330
17 and 18	a	−0.059	0.043	0.170		0.275	0.089	0.002
	b	0.022	0.028	0.442	0.562	−0.442	0.065	0.000	0.001
18 and 19	a	−0.045	0.086	0.597		0.067	0.088	0.449
	b	−0.286	0.099	0.004	0.207	−0.352	0.082	0.000	0.192
19 and 20	a	−0.019	0.045	0.670		−0.083	0.073	0.257
	b	−0.132	0.046	0.004	0.000	−0.057	0.069	0.414	0.719
20 and 21	a	−0.023	0.052	0.664		−0.086	0.070	0.226
	b	−0.302	0.043	0.000	0.000	−0.084	0.053	0.114	0.816
21 and 22	a	0.112	0.068	0.100		−0.087	0.090	0.331
	b	−0.063	0.045	0.163	0.237	−0.007	0.046	0.875	0.798
22 and 23	a	−0.037	0.075	0.617		−0.155	0.103	0.134
	b	−0.378	0.040	0.000	0.000	−0.505	0.040	0.000	0.000

Graph 1. Descriptive statistics of CA forecast error.

Graph 2. Efficiency of forecast error, trends in coefficients a and b (Equation 1).

Graph 3. Efficiency of forecast revisions: trends in coefficients a and b (Equation 2).

Graph 4. Efficiency of forecast revisions: trends in coefficients a and b (Equation 3).

Table A1. Test of bias in forecast. $F{E}_{i,t}=C+e_{i,t}$

		Developed			Developing
Horizon	Constant	Value	Std. error	t-Prob.	Value	Std. error	t-Prob.
1	C	0.041	0.089	0.646	−0.496	0.156	0.002
2	C	−0.035	0.087	0.686	−0.580	0.146	0.000
3	C	−0.049	0.091	0.590	−0.584	0.154	0.000
4	C	−0.007	0.098	0.942	−0.579	0.156	0.000
5	C	−0.026	0.102	0.799	−0.556	0.163	0.001
6	C	−0.002	0.103	0.981	−0.713	0.170	0.000
7	C	−0.058	0.108	0.589	−0.804	0.177	0.000
8	C	−0.040	0.104	0.703	−0.821	0.172	0.000
9	C	−0.058	0.102	0.573	−0.960	0.195	0.000
10	C	−0.164	0.107	0.127	−0.926	0.201	0.000
11	C	−0.009	0.122	0.944	−0.999	0.246	0.000
12	C	−0.098	0.117	0.404	−0.815	0.230	0.001
13	C	0.078	0.121	0.518	−0.953	0.198	0.000
14	C	0.029	0.125	0.814	−0.966	0.208	0.000
15	C	−0.069	0.119	0.562	−0.921	0.229	0.000
16	C	−0.183	0.144	0.205	−0.926	0.236	0.000
17	C	−0.177	0.147	0.230	−0.779	0.223	0.001
18	C	−0.117	0.143	0.417	−1.012	0.218	0.000
19	C	−0.075	0.127	0.555	−1.107	0.228	0.000
20	C	−0.062	0.127	0.627	−1.029	0.227	0.000
21	C	−0.004	0.133	0.976	−0.950	0.231	0.000
22	C	−0.121	0.136	0.377	−0.862	0.218	0.000
23	C	−0.048	0.152	0.751	−0.977	0.255	0.000

Each cell reports the results of a regression of forecast errors on a constant.

Table A2. Unbiasedness of forecast. $A_t=a+b{F}_{-i,t}+e_{-i,t}$

		Developed				Developing
Horizon	Coefficient	Value	Std. error	t-Prob.	F-Prob. a = 0, b = 1	Value	Std. error	t-Prob.	F-Prob. a = 0, b = 1
1	a	0.066	0.088	0.452	0.000	1.005	0.230	0.000
	b	0.798	0.036	0.000		0.813	0.063	0.000	0.000
2	a	0.128	0.087	0.141	0.000	0.964	0.208	0.000
	b	0.834	0.035	0.000		0.850	0.059	0.000	0.000
3	a	0.151	0.090	0.095	0.000	1.058	0.224	0.000
	b	0.818	0.037	0.000		0.811	0.064	0.000	0.000
4	a	0.131	0.098	0.184	0.000	1.063	0.226	0.000
	b	0.790	0.041	0.000		0.811	0.064	0.000	0.000
5	a	0.150	0.101	0.141	0.000	1.195	0.231	0.000
	b	0.782	0.043	0.000		0.752	0.065	0.000	0.000
6	a	0.138	0.102	0.178	0.000	1.313	0.248	0.000
	b	0.772	0.043	0.000		0.752	0.076	0.000	0.000
7	a	0.200	0.106	0.061	0.000	1.572	0.241	0.000
	b	0.740	0.046	0.000		0.671	0.073	0.000	0.000
8	a	0.165	0.104	0.112	0.000	1.459	0.238	0.000
	b	0.774	0.045	0.000		0.724	0.073	0.000	0.000
9	a	0.169	0.102	0.098	0.000	2.003	0.233	0.000
	b	0.792	0.045	0.000		0.521	0.069	0.000	0.000
10	a	0.272	0.105	0.010	0.000	2.070	0.234	0.000
	b	0.750	0.046	0.000		0.483	0.068	0.000	0.000
11	a	0.237	0.113	0.037	0.000	2.663	0.238	0.000
	b	0.611	0.044	0.000		0.221	0.065	0.001	0.000
12	a	0.234	0.110	0.034	0.000	2.348	0.248	0.000
	b	0.722	0.048	0.000		0.353	0.071	0.000	0.000
13	a	0.149	0.119	0.212		1.839	0.251	0.000
	b	0.677	0.050	0.000	0.000	0.575	0.081	0.000	0.000
14	a	0.206	0.120	0.088		2.008	0.252	0.000
	b	0.641	0.050	0.000	0.000	0.497	0.079	0.000	0.000
15	a	0.226	0.118	0.056		2.318	0.258	0.000
	b	0.719	0.053	0.000	0.000	0.341	0.078	0.000	0.000
16	a	0.409	0.128	0.002		2.430	0.261	0.000
	b	0.490	0.051	0.000	0.000	0.288	0.078	0.000	0.000
17	a	0.415	0.130	0.002		2.239	0.284	0.000
	b	0.470	0.052	0.000	0.000	0.354	0.089	0.000	0.000
18	a	0.373	0.130	0.004		2.258	0.276	0.000
	b	0.497	0.053	0.000	0.000	0.385	0.094	0.000	0.000
19	a	0.269	0.124	0.031		2.464	0.270	0.000
	b	0.647	0.057	0.000	0.000	0.298	0.092	0.001	0.000
20	a	0.255	0.125	0.042		2.444	0.278	0.000
	b	0.658	0.058	0.000	0.000	0.296	0.095	0.002	0.000
21	a	0.259	0.127	0.042		2.513	0.283	0.000
	b	0.590	0.055	0.000	0.000	0.252	0.094	0.008	0.000
22	a	0.344	0.127	0.007		2.183	0.283	0.000
	b	0.558	0.055	0.000	0.000	0.393	0.092	0.000	0.000
23	a	0.374	0.132	0.005		2.776	0.265	0.000
	b	0.435	0.051	0.000	0.000	0.128	0.081	0.114	0.000

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