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The Recent Performance of the Canadian Forecasting Industry

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  • Bryan Campbell
  • Steve Murphy

Abstract

This paper evaluates the forecast performance of Canadian financial institutions and forecasting firms between 1984 and 2003. The sample period is roughly double that of an earlier study. We divide the sample in two and investigate whether a particular institution has improved its relative standing over the last ten years. Results for two Quebec institutions -- the Banque Nationale (National Bank) and the Mouvement Desjardins -- are now included in the second part of the sample, whereas a complete dataset was not available for these two institutions during the 1980s. We look as well at the relative performance of individual forecasters compared to the consensus forecast (defined as the mean of the forecasts available during the period in question). The paper then compares the accuracy of the Canadian consensus forecast with the forecast offered by the OECD each December for a limited number of key macroeconomic variables.

Suggested Citation

  • Bryan Campbell & Steve Murphy, 2006. "The Recent Performance of the Canadian Forecasting Industry," Canadian Public Policy, University of Toronto Press, vol. 32(1), pages 23-40, March.
    • Handle: RePEc:cpp:issued:v:32:y:2006:i:1:p:23-40
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    References listed on IDEAS

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    1. Vassiliki Koutsogeorgopoulou, 2000. "A Post-Mortem on Economic Outlook Projections," OECD Economics Department Working Papers 274, OECD Publishing.
    2. Roy Batchelor, 2001. "How useful are the forecasts of intergovernmental agencies? The IMF and OECD versus the consensus," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 225-235.
    3. Marc Brisson & Bryan Campbell & John W. Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO.
    4. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
    5. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    6. Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September.
    7. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    8. Mr. Michael J. Artis, 1996. "How Accurate Are the Imf's Short-Term Forecasts? Another Examination of the World Economic Outlook," IMF Working Papers 1996/089, International Monetary Fund.
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    Cited by:

    1. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers 2008-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.

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