Publication Type
Working Paper
Version
publishedVersion
Publication Date
11-2017
Abstract
We explore the role of uncertainty in explaining dispersion in professional forecasters’ density forecasts of real output growth and inflation. We consider three separate notions of uncertainty: general macroeconomic uncertainty (the fact that macroeconomic variables are easier to forecast at some times than at others), policy uncertainty, and forecaster uncertainty. We find that dispersion in individual density forecasts is related to overall macroeconomic uncertainty and policy uncertainty, while forecaster uncertainty (which we define as the average in the uncertainty expressed by individual forecasters) appears to have little role in forecast dispersion.
Discipline
Economic Policy | Macroeconomics
Research Areas
Macroeconomics
First Page
1
Last Page
40
Publisher
SMU Economics and Statistics Working Paper Series, No. 01-2018
City or Country
Singapore
Citation
LI, You and TAY, Anthony S..
The role of macroeconomic, policy, and forecaster uncertainty in forecast dispersion. (2017). 1-40.
Available at: https://ink.library.smu.edu.sg/soe_research/2134
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.