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Journal Article
Investment analysts' forecasts of earnings
Ciciretti, Rocco; Dwyer, Gerald P.; Hasan, Iftekhar (2009-09)
The literature on investment analysts' forecasts of firms' earnings and their forecast errors is enormous. This paper summarizes the evidence on the distribution of analysts' forecasts and forecast errors using data for all U.S. firms from 1990 to 2004. The evidence indicates substantial asymmetry of earnings, earning forecasts, and forecast errors. There is strong support for average and median earning forecasts being higher than actual earnings a year before the earnings announcement. Such differences between earnings and forecasts also exist across time periods and industries. A month ...
Review , Volume 91 , Issue Sep , Pages 545-568

Working Paper
Rational and near-rational bubbles without drift
Lansing, Kevin J. (2007)
This paper derives a general class of intrinsic rational bubble solutions in a standard Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift. The volatility of bubble innovations depends exclusively on fundamentals. Starting from an arbitrarily small positive value, the rational bubble expands and contracts over time in an irregular, wholly endogenous fashion, always returning to the vicinity of the fundamental solution. I also examine a near-rational solution in which the representative agent ...
Working Paper Series , Paper 2007-10

Discussion Paper
Exploring the use of anonymized consumer credit information to estimate economic conditions: an application of big data
Wilshusen, Stephanie M. (2015-11-06)
The emergence of high-frequency administrative data and other big data offers an opportunity for improvements to economic forecasting models. This paper considers the potential advantages and limitations of using information contained in anonymized consumer credit reports for improving estimates of current and future economic conditions for various geographic areas and demographic markets. Aggregate consumer credit information is found to be correlated with macroeconomic variables such as gross domestic product, retail sales, and employment and can serve as leading indicators such that lagged ...
Consumer Finance Institute discussion papers , Paper 15-5

Journal Article
Forecast evaluation with cross-sectional data: The Blue Chip Surveys
Eisenbeis, Robert A.; Zha, Tao; Waggoner, Daniel F.; Bauer, Andrew (2003-04)
If economic forecasts are to be used for decision making, then being able to evaluate their accuracy is essential. Assessing accuracy using single variables from a forecast is acceptable as a first pass, but this approach has inherent problems. This article addresses some of these problems by evaluating and comparing the general accuracy of a set of multivariate forecasts over time. ; Using the methodology developed in Eisenbeis, Waggoner, and Zha (2002), the authors compare the economic forecasts in the Blue Chip Economic Indicators Survey. The survey, published monthly since 1977, contains ...
Economic Review , Volume 88 , Issue Q2 , Pages 17-31

Working Paper
A stochastic dominance approach to the evaluation of foreign exchange forecasts
Hunter, William C.; Timme, Stephen G. (1991)
FRB Atlanta Working Paper , Paper 91-5

Journal Article
The benchmark U.S. Treasury market: recent performance and possible alternatives
Fleming, Michael J. (2000-04)
Economic Policy Review , Issue Apr , Pages 129-145

Working Paper
A common model approach to macroeconomics: using panel data to reduce sampling error
Gavin, William T.; Theodorou, Athena T. (2004)
Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests that market economies of various nations should share many similar dynamic patterns; as a result, individual-country empirical models, for a wide variety of countries often include the same variables. Yet, empirical studies often find important roles for idiosyncratic shocks in the differing macroeconomic performance of countries. We use forecasting criteria to examine the macro-dynamic behavior of 15 OECD countries in terms of a small set of familiar, widely?used core economic variables, omitting ...
Working Papers , Paper 2003-045

Working Paper
Accounting for prediction variance in event studies
Davies, Sally M. (1991)
Finance and Economics Discussion Series , Paper 173

Report
Are the preliminary announcements of some macroeconomic variables rational?
Chan, Anthony (1990)
Research Paper , Paper 9035

Working Paper
On the sensitivity of VAR forecasts to alternative lag structures
Hafer, Rik; Sheehan, Richard G. (1987)
Working Papers , Paper 1987-004

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