We analyse the monthly forecasts for annual US GDP growth, CPI inflation rate and the unemployment rate delivered by forty professional forecasters collected in the Consensus database for 2000M01-2014M12. To understand why some forecasters are better than others, we create simple benchmark model-based forecasts. Evaluating the individual forecasts against the model forecasts is informative for how the professional forecasters behave. Next, we link this behaviour to forecast performance. We find that forecasters who impose proper judgment to model-based forecasts also have highest forecast accuracy and hence, they do not perform best just by luck.

Expert adjustment, Macroeconomic forecasts
hdl.handle.net/1765/104804
Econometric Institute Reprint Series
Journal of Management Information and Decision Science
Erasmus University Rotterdam

Franses, Ph.H.B.F, & Maassen, N.R. (2017). Consensus forecasters: How good are they individually and why?. Journal of Management Information and Decision Science, 20(Special issue 1). Retrieved from http://hdl.handle.net/1765/104804