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German trade forecasts since 1970: An evaluation using the panel dimension

Author

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  • Behrens, Christoph
Abstract
I evaluate German export growth and import growth forecasts published by eight professional forecasters for the years 1971 to 2019. The focus of the evaluation is on the weak and strong efficiency as well as the unbiasedness of the forecasts. To this end, I use a novel panel-data set and estimate fixed-effects models taking into account panel-corrected standard errors. For the full time period, I find that both export and import growth forecasts are weakly but not strongly efficient. Unbiasedness depends on the forecast horizon being analyzed, with longer-term four-quarter-ahead forecasts being biased. I, furthermore, check for a possible change in forecasting behavior after incisive economic events in recent German history. I find that the strong efficiency of the forecasts did not change substantially over time. However, there is a change in forecasting behavior regarding the weak form of efficiency after the financial crisis 2008/2009.

Suggested Citation

  • Behrens, Christoph, 2020. "German trade forecasts since 1970: An evaluation using the panel dimension," Working Papers 26, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    • Handle: RePEc:zbw:pp1859:26
    DOI: 10.18452/22093
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    References listed on IDEAS

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    More about this item

    Keywords

    Trade forecasts; German economic research institutes; Forecast Efficiency; Panel Data;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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