Publication Type
Journal Article
Publication Date
3-2021
Abstract
We explore empirically the role of macroeconomic and policy uncertainty in explaining dispersion in professional forecasters’ density forecasts, and in explaining individual forecaster uncertainty (defined as the uncertainty expressed by individual forecasters in their density forecasts). We focus on US real output growth and inflation, using data from the Philadelphia Fed’s quarterly Survey of Professional Forecasters (SPF), 1992-2016. We find that dispersion in individual density forecasts is related to macroeconomic uncertainty, especially in longer horizon forecasts, but not policy or forecaster uncertainty. There is also little evidence that forecaster uncertainty reflects macroeconomic or policy uncertainty.
Keywords
Surveys of Professional Forecasts, Density Forecasts, Forecast Dispersion, Macroeconomic Uncertainty, Policy Uncertainty
Discipline
Macroeconomics
Research Areas
Macroeconomics
Publication
Journal of Macroeconomics
Volume
67
First Page
1
Last Page
19
ISSN
0164-0704
Identifier
10.1016/j.jmacro.2020.103266
Publisher
Elsevier
Citation
1
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.
Additional URL
https://doi.org/10.1016/j.jmacro.2020.103266