TY  - UNPD
A1  - Ende, Bartholomäus
A1  - Lutat, Marco
T1  - Trade-throughs in European cross-traded equities after transaction costs – empirical evidence for the EURO STOXX 50
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,15
N2  - This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal Reserve’s Greenbook and the Survey of Professional Forecasters (SPF). The model parameters and model forecasts are derived from historical data vintages so as to ensure comparability to historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts in terms of accuracy even though the models only make use of a small number of data series. Model forecasts compare particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity constitutes a potentially important source of economic fluctuations. While the particular reasons for diversity in professional forecasts are not observable, the diversity in model forecasts can be traced to different modeling assumptions, information sets and parameter estimates. JEL Classification: G14, G15, G24
T3  - CFS working paper series - 2010, 15 
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7908
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-78671
ER  -