  Forecasts for key macroeconomic variables are almost always made
simultaneously by the same organizations, presented together, and used together
in policy analyses and decision-makings. It is therefore important to know
whether the forecasters are skillful enough to forecast the future values of
those variables. Here a method for joint evaluation of skill in directional
forecasts of multiple variables is introduced. The method is simple to use and
does not rely on complicated assumptions required by the conventional
statistical methods for measuring accuracy of directional forecast. The data on
GDP growth and inflation forecasts of three organizations from Thailand,
namely, the Bank of Thailand, the Fiscal Policy Office, and the Office of the
National Economic and Social Development Council as well as the actual data on
GDP growth and inflation of Thailand between 2001 and 2021 are employed in
order to demonstrate how the method could be used to evaluate the skills of
forecasters in practice. The overall results indicate that these three
organizations are somewhat skillful in forecasting the direction-of-changes of
GDP growth and inflation when no band and a band of +/- 1 standard deviation of
the forecasted outcome are considered. However, when a band of +/- 0.5% of the
forecasted outcome is introduced, the skills in forecasting the
direction-of-changes of GDP growth and inflation of these three organizations
are, at best, little better than intelligent guess work.
