Abstract

CAPISTRAN, Carlos  and  LOPEZ-MOCTEZUMA, Gabriel. Las expectativas macroeconómicas de los especialistas. Una evaluación de pronósticos de corto plazo en México. El trimestre econ [online]. 2010, vol.77, n.306, pp.275-312. ISSN 2448-718X.

This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Professional Forecasters, maintained by Banco de Mexico. The study concentrates on the mean across forecasters for the period from January 1995 to April 2008. Their efficiency in the use of information is examined, as well as their relative performance using as benchmarks forecasts obtained from time-series, macroeconomic, and financial variables. In general, consensus forecasts do not pass tests of unbiasedness, lack of serial correlation, and efficient use of available information, suggesting opportunities to improve the quality of these forecasts. However, the forecasts seem to be, in general, more accurate than the benchmark forecasts, although this relative forecasting advantage appears to diminish in a sample that starts in January 2002.

Keywords : expectativas racionales; capacidad de predicción; pronósticos con horizontes móviles.