174
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

On the directional accuracy of inflation forecasts: evidence from South African survey data

, &
Pages 884-900 | Received 05 Sep 2015, Accepted 12 Apr 2017, Published online: 04 May 2017

References

  • K. Adam and M. Padula, Inflation dynamics and subjective expectations in the united states, Econ. Inq. 49 (2011), pp. 13–25. doi: 10.1111/j.1465-7295.2010.00328.x
  • Y.B. Ahn and Y. Tsuchiya, Directional analysis of consumers' forecasts of inflation in a small open economy: Evidence From South Korea, Appl. Econ. 48 (2015), pp. 854–864. doi: 10.1080/00036846.2015.1088144
  • A. Ang, G. Bekaert, and M. Wei, Do macro variables, asset markets, or surveys forecast inflation better?, J. Monet. Econ. 54 (2007), pp. 1163–1212. doi: 10.1016/j.jmoneco.2006.04.006
  • J.C.K. Ash, D.J. Smyth, and S.M. Heravi, Are OECD forecasts rational and useful? A directional analysis, Int. J. Forecast. 14 (1998), pp. 381–391. doi: 10.1016/S0169-2070(98)00035-1
  • M. Ashiya, Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts, J. Forecast. 25 (2006), pp. 201–207. doi: 10.1002/for.980
  • H. Baghestani, Evaluating blue chip forecasts of the trade-weighted dollar exchange rate, Appl. Financ. Econ. 20 (2010), pp. 1879–1889. doi: 10.1080/09603107.2010.526578
  • S.G. Baker and B.S. Kramer, Peirce, Youden, and receiver operation characteristic curves, Am. Stat. 61 (2007), pp. 343–346. doi: 10.1198/000313007X247643
  • D. Bamber, The area above the ordinal dominance graph and the area below the receiver operating characteristic graph, J. Math. Psychol. 12 (1975), pp. 387–415. doi: 10.1016/0022-2496(75)90001-2
  • T.J. Berge and Ò. Jordà, Evaluating the classification of economic activity into recessions and expansions, Amer. Econ. J: Macroecon. 3 (2011), pp. 246–277.
  • O. Blaskowitz and H. Herwartz, On economic evaluation of directional forecasts, Int. J. Forecast. 27 (2011), pp. 1058–1065. doi: 10.1016/j.ijforecast.2010.07.002
  • O. Blaskowitz and H. Herwartz, Testing the value of directional forecasts in the presence of serial correlation, Int. J. Forecast. 30 (2014), pp. 30–42. doi: 10.1016/j.ijforecast.2013.06.001
  • A.J. Bhundia and L.A. Ricci, The rand crises of 1998 and 2001: What have we learned?, in M. Nowak and L.A. Ricci, Eds., Post-Apartheid South Africa: The First Ten Years, International Monetary Fund, Washington, DC, 2005, pp. 156–173.
  • E.R. DeLong, D.M. DeLong, and D.L. Clarke-Pearson, Comparing the areas under two or more correlated receiver operating characteristic curves: A nonparametric approach, Biometrics 44 (1988), pp. 837–845. doi: 10.2307/2531595
  • J. Döpke, U. Fritsche, and C. Pierdzioch, Predicting recessions with boosted regression trees, Working Paper No. 2015-004. Research Program on Forecasting. George Washington University, Washington, DC, 2015.
  • N. Ehlers and M.R. Steinbach, The formation of inflation expectations in South Africa, Working Paper WP/07/06, South African Reserve Bank, 2007.
  • J. Fuhrer, The role of expectations in inflation dynamics, Int. J. Central Bank. 81 (2012), pp. 137–165.
  • D.M. Green and J.A. Swets, Signal Detection Theory and Psychophysics, Peninsula Publishing, Los Altos, CA, 1988. First published 1966 by John Wiley & Sons.
  • M. Greiner, D. Pfeiffer, and R.D. Smith, Principles and practical application of the receiver-operating characteristic analysis for diagnostic tests, Prev. Vet. Med. 45 (2000), pp. 23–41. doi: 10.1016/S0167-5877(00)00115-X
  • J.A. Hanley and B.J. McNeil, The meaning and use of the area under a receiver operating characteristic (ROC) curve, Radiology 143 (1982), pp. 29–36. doi: 10.1148/radiology.143.1.7063747
  • R.D. Henriksson and R.C. Merton, On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills, J. Bus. 54 (1981), pp. 513–533. doi: 10.1086/296144
  • Ò. Jordà, Assessing the historical role of credit: Business cycles, financial crises and the legacy of Charles S. Peirce, Int. J. Forecast. 30 (2014), pp. 729–740. doi: 10.1016/j.ijforecast.2014.02.003
  • Ò. Jordà and A.M. Taylor, The carry trade and fundamentals: Nothing to fear but FEER itself, J. Int. Econ. 88 (2012), pp. 74–90. doi: 10.1016/j.jinteco.2012.03.001
  • Ò. Jordà, M. Schularick, and A.M. Taylor, Financial crises, credit booms, and external imbalances: 140 years of lessons, IMF Econ. Rev. 59 (2011), pp. 340–378. doi: 10.1057/imfer.2011.8
  • F. Joutz and H.O. Stekler, An evaluation of the predictions of the federal reserve, Int. J. Forecast. 16 (2000), pp. 17–38. doi: 10.1016/S0169-2070(99)00046-1
  • A. Kabundi and E. Schaling, Inflation and inflation expectations in South Africa: An attempt at explanation, South African J. Econ. 81 (2013), pp. 346–355. doi: 10.1111/saje.12007
  • A. Kabundi, E. Schaling, and M. Some, Monetary policy and heterogeneous inflation expectations in South Africa, Working Paper No. 422, Economic Research Southern Africa, 2014.
  • A.E. Khandani, A.J. Kim, and A.W. Lo, Consumer credit-risk models via machine-learning algorithms, J. Bank. Financ. 34 (2010), pp. 2767–2787. doi: 10.1016/j.jbankfin.2010.06.001
  • R.A. Kolb and H.O. Stekler, How well do analysts forecast interest rates? J. Forecast. 15 (1996), pp. 385–394. doi: 10.1002/(SICI)1099-131X(199609)15:5<385::AID-FOR627>3.0.CO;2-B
  • K. Lahiri and J.G. Wang, Evaluating probability forecasts for GDP declines using alternative methodologies, Int. J. Forecast. 29 (2013), pp. 175–190. doi: 10.1016/j.ijforecast.2012.07.004
  • K. Lahiri and L. Yang, A further analysis of the conference board's N leading economic index, Int. J. Forecast. 31 (2015), pp. 446–453. doi: 10.1016/j.ijforecast.2014.12.006
  • K.S. Lai, An evaluation of survey exchange rate forecasts, Econ. Lett. 32 (1990), pp. 61–65. doi: 10.1016/0165-1765(90)90050-B
  • G. Leitch and T.E. Tanner, Economic forecast evaluation: Profits versus the conventional error measures, Amer. Econ. Rev. 81 (1991), pp. 580–590.
  • W. Liu and E. Moench, What predicts US recessions?, Int. J. Forecast. 32 (2016), pp. 1138–1150. doi: 10.1016/j.ijforecast.2016.02.007
  • C. Marzban, The ROC curve and the area under it as performance measures, Weather Forecast. 19 (2004), pp. 1106–1114. doi: 10.1175/825.1
  • I. Mason, A model for assessment of weather forecasts, Aust. Meteorol. Mag. 30 (1982), pp. 291–303.
  • R.C. Merton, On market timing and investment performance. I. An equilibrium theory of value for market forecasts, J. Bus. 54 (1981), pp. 363–406. doi: 10.1086/296137
  • C.E. Metz, Basic principles of ROC analysis, Semin. Nucl. Med. 8 (1978), pp. 283–298. doi: 10.1016/S0001-2998(78)80014-2
  • R. Nunes, Inflation dynamics: The role of expectations, J. Money. Credit. Bank. 42 (2010), pp. 1161–1172. doi: 10.1111/j.1538-4616.2010.00324.x
  • L.E. Öller and B. Barot, The accuracy of European growth and inflation forecasts, Int. J. Forecast. 16 (2000), pp. 293–315. doi: 10.1016/S0169-2070(00)00044-3
  • C.S. Peirce, The numerical measure of the success of predictions, Science 4 (1884), pp. 453–454. doi: 10.1126/science.ns-4.93.453-a
  • M.S. Pepe, The Statistical Evaluation of Medical Tests for Classification and Prediction, Oxford University Press, Cambridge, MA, 2003.
  • M.H. Pesaran and A. Timmermann, A simple nonparametric test of predictive performance, J. Bus. Econ. Stat. 10 (1992), pp. 461–465.
  • C. Pierdzioch, A note on the directional accuracy of interest-rate forecasts, Appl. Econ. Lett. 22 (2015), pp. 1073–1077. doi: 10.1080/13504851.2014.1000516
  • C. Pierdzioch, Using ROC techniques to measure the effectiveness of foreign exchange market interventions, Appl. Econ. Lett. 23 (2016), pp. 389–393. doi: 10.1080/13504851.2015.1073835
  • C. Pierdzioch, M.B. Reid, and R. Gupta, Inflation forecasts and forecaster herding: Evidence from South African survey data, Stellenbosch Economic Working Papers No. 24/14, University of Stellenbosch, 2014.
  • C. Pierdzioch, M.B. Reid, and R. Gupta, Forecasting the South African inflation rate: On asymmetric loss and forecast rationality, Econ. Syst. 40 (2016), pp. 82–92. doi: 10.1016/j.ecosys.2015.08.004
  • C. Pierdzioch, M.B. Reid, and R. Gupta, Inflation forecasts and forecaster herding: Evidence from South African survey data, J. Behav. Exp. Econ. 62 (2016), pp. 42–50. doi: 10.1016/j.socec.2016.03.004
  • C. Pierdzioch and J.C. Rülke, On the directional accuracy of forecasts of emerging market exchange rates, Int. Rev. Econ. Financ. 38 (2015), pp. 369–376. doi: 10.1016/j.iref.2015.03.003
  • V. Plakandaras, T. Papadimitriou, and P. Gogas, Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate, J. Comput. Optim. Econ. Financ. 5 (2013), pp. 125–139.
  • V. Plakandaras, T. Papadimitriou, P. Gogas, and K. Diamantaras, Market sentiment and exchange rate directional forecasting, Algorithmic Financ. 4 (2015), pp. 69–79.
  • D.N. Politis and J.P. Romano, The stationary bootstrap, J. Am. Stat. Assoc. 89 (1994), pp. 1303–1313. doi: 10.1080/01621459.1994.10476870
  • J. Pons, The rationality of price forecasts: A directional analysis, Appl. Financ. Econ. 11 (2001), pp. 287–290. doi: 10.1080/096031001300138681
  • R Development Core Team, R: A Language and Environment for Statistical Computing, 2014. Available at: http://www.R-project.org.
  • M.B. Reid, Inflation expectations of the inattentive general public, Econ. Model. 46 (2015), pp. 151–166. doi: 10.1016/j.econmod.2014.12.003
  • M.H. Schnader and H.O. Stekler, Evaluating predictions of change, J. Bus. 63 (1990), pp. 99–107. doi: 10.1086/296486
  • T.M. Sinclair, H.O. Stekler, and L. Kitzinger, Directional forecasts of GDP and inflation: A joint evaluation with an application to federal reserve predictions, Appl. Econ. 42 (2010), pp. 2289–2297. doi: 10.1080/00036840701857978
  • R.M. Stein, The relationship between default prediction and lending profits: Integrating ROC analysis and loan pricing, J. Bank. Financ. 29 (2005), pp. 1213–1236. doi: 10.1016/j.jbankfin.2004.04.008
  • H.O. Stekler, Are economic forecasts valuable?, J. Forecast. 13 (1994), pp. 495–505. doi: 10.1002/for.3980130602
  • J.A. Swets, The relative operating characteristic in psychology, Science 182 (1973), pp. 990–1000. doi: 10.1126/science.182.4116.990
  • M. Woodford, Central bank communication and policy effectiveness, Proceedings, Economic Policy Symposium, Jackson Hole, Federal Reserve Bank of Kansas City, 2005, issue August: 399–474.
  • W.J. Youden, Index for rating diagnostic tests, Cancer 3 (1950), pp. 32–35. doi: 10.1002/1097-0142(1950)3:1<32::AID-CNCR2820030106>3.0.CO;2-3
  • M.H. Zweig and G. Campbell, Receiver-operating characteristic (ROC) plots: A fundamental evaluation tool in clinical medicine, Clin. Chem. 39 (1993), pp. 561–577.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.