Assessment of Consensus Forecasts Accuracy: The Czech National Bank Perspective

Abstract

Consensus Economics forecasts for euro-area GDP growth, consumer and producer price inflation and the USD/EUR exchange rate are used by the Czech National Bank to make assumptions about future external economic developments. This paper compares the accuracy of the aforementioned Consensus forecasts to those of the European Commission, International Monetary Fund and Organization for Economic Co-operation and Development, and also to the naive forecast and the forecast implied by the forward exchange rate. In the period from 1994 to 2009 Consensus forecasts for effective euro-area consumer price inflation and GDP growth beat the alternatives by a difference which is typically statistically significant. The results are more diverse for the pre-crisis sample (1994–2007). The Consensus forecast for euro-area producer price inflation significantly outperforms the naive forecast in the short-term. Finally, the Consensus forecast for the USD/EUR exchange rate during the period from 2002 to 2009 is more precise than the naive forecast and the forecast implied by the forward rate.Forecasting accuracy, prediction process, survey forecasts.