dc.contributor.author |
Pierdzioch, Christian
|
|
dc.contributor.author |
Reid, Monique B.
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2019-05-09T10:39:01Z |
|
dc.date.available |
2019-05-09T10:39:01Z |
|
dc.date.issued |
2018 |
|
dc.description.abstract |
We study the information content of South African inflation survey data by determining the directional accuracy of both short-term and long-term forecasts. We use relative operating characteristic (ROC) curves, which have been applied in a variety of fields including weather forecasting and radiology, to ascertain the directional accuracy of the forecasts. A ROC curve summarizes the directional accuracy of forecasts by comparing the rate of true signals (sensitivity) with the rate of false signals (one minus specifity). A ROC curve goes beyond market-timing tests widely studied in earlier research as this comparison is carried out for many alternative values of a decision criterion that discriminates between signals (of a rising inflation rate) and nonsignals (of an unchanged or a falling inflation rate). We find consistent evidence that forecasts contain information with respect to the subsequent direction of change of the inflation rate. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
hj2019 |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/cjas20 |
en_ZA |
dc.identifier.citation |
Christian Pierdzioch, Monique B. Reid & Rangan Gupta (2018) On the directional accuracy of inflation forecasts: evidence from South African survey data, Journal of Applied Statistics, 45:5, 884-900, DOI: 10.1080/02664763.2017.1322556. |
en_ZA |
dc.identifier.issn |
0266-4763 (print) |
|
dc.identifier.issn |
1360-0532 (online) |
|
dc.identifier.other |
10.1080/02664763.2017.1322556 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/69074 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Taylor and Francis |
en_ZA |
dc.rights |
© 2017 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Journal of Applied Statistics, vol. 45, no. 5, pp. 884-900, 2018.doi : . Journal of Applied Statistics is available online at : http://www.tandfonline.comloi/cjas20. |
en_ZA |
dc.subject |
Relative operating characteristic (ROC) |
en_ZA |
dc.subject |
Inflation rate |
en_ZA |
dc.subject |
Forecasting |
en_ZA |
dc.subject |
Directional accuracy |
en_ZA |
dc.subject |
South Africa (SA) |
en_ZA |
dc.title |
On the directional accuracy of inflation forecasts : evidence from South African survey data |
en_ZA |
dc.type |
Postprint Article |
en_ZA |