Improving Business Cycle Forecasts’ Accuracy - What Can We Learn from Past Errors?

Roland Dohrn

Table 4 cont.

Test for Information Efficiency Based on a Ranked Sign Test¹1991-2004

Indicator	RWI-7	RWI-4	RWI-3	GD-6	GD-4	GD-2
GDP
PC			83*
GC			855**
Short term interest rate (SR) _I^I_S^EQ		17,5**	^,	9***
EX	25*
IM						82*
GDP						20**
PC
GC			83,5*			81,5*
Long term interest rate (LR) _I^I_S^EQ	85**	79*		81,5*
EX						11,5**
IM				26*
GDP				16,5**	15,5**
PC						80,5*
GC Interest rate spread In_(Yte_Cre₎st rate spread _IISEQ				22*
EX			25,5*
IM
GDP					24,5*	24,5*
PC
GC			80,5*
Short term interest rate-1 (SR-1) _I^I_S^EQ		21,5*		24*
EX
IM		14**		23*
GDP						24,5*
PC
GC						795*
Long term interest rate-1 (LR-1) _I^I_S^EQ	79*					^,
EX						95***
IM		22*
GDP					10,5***
PC
GC Interest rate spread-1 In_(Yte_Cre_-s₁t₎rate spread-1 _IISEQ
EX
IM			81,5*
GDP				26*	14,5**	24*
PC						89**
GC		81*
Real short term
interest rate (RSR) _I^I_S^EQ		89**
EX		22*		23*
IM			95***