Working Paper Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany

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1 econstor Der Open-Access-Publikationsserver der ZBW Leibniz-Informationszentrum Wirtschaft The Open Access Publication Server of the ZBW Leibniz Information Centre for Economics Antzoulatos, Angelos A.; Wilfling, Bernd Working Paper Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany HWWA Discussion Paper, No. 223 Provided in Cooperation with: Hamburgisches Welt-Wirtschafts-Archiv (HWWA) Suggested Citation: Antzoulatos, Angelos A.; Wilfling, Bernd (2003) : Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany, HWWA Discussion Paper, No. 223 This Version is available at: Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence. zbw Leibniz-Informationszentrum Wirtschaft Leibniz Information Centre for Economics

2 Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany Angelos A. Antzoulatos Bernd Wilfling HWWA DISCUSSION PAPER 223 Hamburgisches Welt-Wirtschafts-Archiv (HWWA) Hamburg Institute of International Economics 2003 ISSN

3 Hamburgisches Welt-Wirtschafts-Archiv (HWWA) Hamburg Institute of International Economics Neuer Jungfernstieg Hamburg, Germany Telefon: 040/ Telefax: 040/ Internet: The HWWA is a member of: Wissenschaftsgemeinschaft Gottfried Wilhelm Leibniz (WGL) Arbeitsgemeinschaft deutscher wirtschaftswissenschaftlicher Forschungsinstitute (ARGE) Association d Instituts Européens de Conjoncture Economique (AIECE)

4 HWWA Discussion Paper Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany Angelos A. Antzoulatos* a) Bernd Wilfling** HWWA Discussion Paper Hamburg Institute of International Economics (HWWA) Neuer Jungfernstieg Hamburg, Germany * University of Piraeus ** Westfälische Wilhelms-Universität Münster and HWWA Hamburg a) Corresponding author. We thank Chris Tsoumas for excellent research assistance. This paper has been prepared within the research programme International Financial Markets Edited by the Department World Economy Head: PD Dr. Carsten Hefeker

5 HWWA DISCUSSION PAPER 223 March 2003 Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany ABSTRACT Recent theoretical advances in consumption theory suggest that there may exist predictable consumption surges which, if not taken sufficiently into account in forecasting, may lead to predictable forecast errors. We use this insight to identify economic variables that might help improve the OECD s forecasts for Germany s consumption and GDP growth. JEL-Classification: C53; E21; E37.. Keywords: Consumption, GDP, macroeconomic forecasts, non-linear dynamics. Angelos A. Antzoulatos University of Piraeus Department of Banking and Finance 80 Karaoli Dimitriou Street, Piraeus 18534, Greece antzoul@unipi.gr Bernd Wilfling Westfälische Wilhelms-Universität Münster Wirtschaftswissenschaftliche Fakultät Am Stadtgraben Münster, Germany bernd.wilfling@wiwi-uni-muenster.de

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12 Q1 67 Q1 72 Q1 77 Q1 82 Q1 87 Q1 92 Q1 97 Q1 02 Quarter Source: Datastream and authors calculations.

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15 (A circle identifies the periods of declining savings ratio) 5,0 2,5 0,0-2,5-5,0 1967:1 1972:1 1977:1 1982:1 1987:1 1992:1 1997:1 Semi-year Source: OECD Economic Outlook (various issues), Datastream, and authors calculations.

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