We evaluate the directional accuracy of Institute for Supply Management (ISM) indices in predicting the direction of the U.S. economy direction; to do so, we make use of a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test and...

Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...

We evaluate the directional accuracy of Institute for Supply Management (ISM) indices in predicting the direction of the US economy direction; to do so, we make use of a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test and extending...

We investigate whether long-term co-movements among the prices of precious metals commodity futures contracts can be observed. The past literature on agricultural commodity futures prices obtains the mixed results. We find that there is no long-term interdependence among the prices of the four...

We examine asymmetry in the loss function of Japanese corporate executives in their output growth forecasts and test for rationality of the forecasts under the assumption of a possibly asymmetric loss function. We find evidence of asymmetry and support for rationality under an asymmetric loss...

We investigate the directional accuracy of GDP and price forecasts by the Japanese government and the IMF with a new method developed by Pesaran and Timmermann [Pesaran, M.H., Timmermann, A., 2009. Testing dependence among serially correlated multi-category variables. Journal of the American...