Book reviews / International Journal o f Forecasting 13 (1997) 293-301 295

exploitable connection between the term structure and future economic growth, at least for the US and (more tentatively) Germany. Chapter 7 reviews long- term patterns in dividends, stock prices and inflation in the US, replicates the influential Fama-French study demonstrating the forecastability of US stock market excess returns relative to the in-sample mean using the dividend-price ratio, the slope of the term structure and a 'default spread', and demonstrates the robustness of this finding to alternative forecasting schemes including first and second-order autoregres- sive models, a random walk model and a Kalman filter model of an underlying trend subject to a mixture of temporary and permanent and shocks. However, in keeping with the Fama-French study, only the dividend yield is argued to have reliable forecasting power, the term structure influence ar- gued to be sample-specific, and it is further sug- gested that dividend yield forecasting power may simply result from an historic four-year cycle in US stocks. Chapter 8 offers a replication of the highly influential Meese-Rogoff study comparing forecasts from fundamental economic models with a naive no-change forecast for the G7 currencies over a maximum horizon of five years, and emphasises the role of absolute and relative purchasing power parity and interest parity in guiding expectations of floating exchange rate movements, particularly at long horizons. For fixed exchange rate systems, the sustainability of current account deficits and their implications for longer-term international competi- tiveness in view of unit labour cost trends are promoted as signals of pending devaluations.

Where the book succeeds is in addressing its primary theme of the importance of appropriately handling non-stationarity in regression-based fore- casting, and in promoting the potential of the Kal- man filter where there is uncertainty as to the precise form of that non-stationarity. Where the text is less convincing, is in its secondary objective of offering practical advice for the forecasting of economic and financial time series beyond the term structure-out- put relation and fundamental theoretical economic insights. Where empirical insight is gleaned, it is questionable, as acknowledged, whether those reg- ularities will persist into the future. Moreover, it is regrettable that the author does not engage in a more systematic comparative analysis of alternative fore-

casting methods, that only elementary forecast evaluation methods are employed, and that much emphasis is placed on the correspondence of plots of Kalman filter forecasts with smoothed representa-. tions of the series being forecast. This largely reflects the authors pursuit of a method that unearths longer- term underlying patterns. This pursuit, and a corre- sponding focus on quarterly and annual data, also means that issues concerned with the time-varying volatility of higher frequency series, and issues of seasonal adjustment, do not receive attention, which may concern some potential readers given the book's title. Nevertheless, the text is lucid, replete with empirical illustration and example, and will undoubt- edly prove thought-provoking to many practitioners.

Alan E H Speight Department of Economics

University of Wales Swansea

P l l S0169-2070(97)00007-1

Worm Index of Economic Forecasts, edited by Rob Fildes, Gower Publishing Ltd, 672 pp., £125.00, ISBN 0566 074885

The 'World Index of Economic Forecasts' (WIEF) attempts to provide a complete guide to macro- economic forecasts and surveys world wide and achieves this aim. The volume consists of 663 pages of which 538 describe 'The Forecasters' and 41 describe 'Trade Cycle Tendency Surveys'. There is an excellent cross referenced index system allowing flexible access to information in the two sections described above. Remaining pages offer a brief but wide review of Macroeconomic forecasts and sur- veys plus a section on the Centre for International Research on Economic Tendency (CIRET) including a brief description of CIRET plus 30 pages of tables. This (4th) edition includes information on 217 forecasting and surveying organisations compared to 329 in the 3rd edition reflecting the changing number of organisations operating in the market. Information included in the volume is elicited by means of a questionnaire sent to all participating organisations.

296 Book reviews / International Journal o f Forecasting 13 (1997) 293-301

Apart from the CIRET section all information may be accessed in a variety of ways, each facilitated by specific indexes. The primary index lists all par- ticipating organisations with page references to the two main sections. Secondary indexes are; a 'Coun- try Index' listing organisations providing information by country, an 'Exchange Rate Index' (eight key currencies), an 'Interest Rate Index' and a 'Com- modities and Other Specialist Subjects Index'. Sec- ondary indexes provide the user with a list of organisations offering the relevant services which may be used in conjunction with the main organisa- tion index. The index system is efficient and con- sistent.

The section on CIRET is less well integrated and consists of a brief organisational overview plus an inadequate description of the 30-page 'Synoptic Table'. The table describes economic surveys by country and includes 'publication name' in the native language, obscuring a useful source of information from non-linguists. Not all organisations mentioned in the 'Synoptic Table' are included in the 'Organi- sational Index'. The WIEF introduction promises an article by Werner, Strigel and Ziegler entitled 'Cycli- cal Business and Consumer Surveys - The Current State of the Art' which summarises the world of economic surveys (and presumably the operations of CIRET) but, to the detriment of this section, it is not included anywhere in the WIEF.

The introduction by Fildes provides a wide sum- mary of the state of economic forecasting at present and is realistically negative about historical forecast accuracy and indeed the reliability of current fore- casts:

'...it can be shown that the choice of exogenous assumptions is used by model builders to in- fluence their forecasts subjectively' (p. 7).

The extent to which most forecasts are conditional on government policy is sensibly included but dis- cussion is limited.

Fildes' summary is to some extent the victim of its own brevity, offering extensive coverage but scant detail. It is, however, indispensable as a check list for the seasoned researcher and an excellent intro- duction to the student. Many seminal papers are referenced providing a useful bibliography for stu- dent and researcher alike.

A survey amongst 670 individual members of the Society for Business Economists was undertaken to elicit users' views on 'Sources and Uses of Macro- economic Forecasts' providing some enlightening results, however a limited response rate (71 respon- dents) and the possibility of self selection bias amongst respondents throws doubt on many of the findings (acknowledged by the author).

Overall the WIEF is unique in its coverage and invaluable to any researcher active in the field of economics. The section on CIRET could be rendered more accessible and, at the risk of increasing the already substantial size of this volume, a partial index for the main text sections and key players in the field of forecasting and surveys may provide a useful addition.

Nick Butler Department of Economics,

Kingston University

'...some macroeconomic forecasts are so inaccu- rate that they can not be used to improve on forecasts based on industry or company data alone' (p. 4).

PII S0169-2070(96)00729-7

Fildes includes sections summarising the main ana- lytical techniques used by forecasters including Vector Auto Regressions (VARS) and ARIMA modelling plus the role of these techniques as benchmarks for alternative modelling techniques. The counter intuitive conclusion that ex-ante fore- casts often seem more accurate then their ex-post counterparts is nicely summarised:

D.C. Frechtling, Practical Tourism Forecasting, 1996, (Butterworth Heineman, Oxford), + 240 pp., Softcover, ISBN 0 7506 0877 3

This book is the first attempt since 1992 (Witt and Witt, 1992) to write a forecasting text for the tourism industry. As such the book has a potentially signifi- cant role to play. In fact the book has quite limited