Publication Type

Journal Article

Version

publishedVersion

Publication Date

5-2023

Abstract

This paper aims to investigate whether the predictive performance and behaviour of professional forecasters are different during the COVID-19 pandemic as compared with the global financial crisis of 2008 and normal times. To this end, we use a survey of professional forecasters in Singapore collated by the central bank to analyse the forecasting records for GDP growth and CPI inflation for the period 2000Q1–2021Q4. We first examine the point forecasts to document the extent of forecast failure duringthe two crises and explore various explanations for it, such as leader-following and herding behaviour. Then, using percentile-based summary measures of probability distribution forecasts, we study how the degree of consensus and extent of subjective uncertainty among forecasters were affected by crisis conditions. A trend break is observed in the subjective uncertainty associated with growth projections after the onset of the COVID-19 crisis. In contrast, both subjective uncertainty and the degree of consensus in inflation projections were essentially unchanged in crises, suggesting that the short-term inflation expectations of forecasters were strongly anchored.

Keywords

Survey data, COVID-19, Leader-following, Herding, Consensus, Uncertainty

Discipline

Asian Studies | Econometrics

Research Areas

Econometrics

Publication

Empirical Economics

Volume

64

Issue

5

First Page

2105

Last Page

2124

ISSN

0377-7332

Identifier

10.1007/s00181-022-02311-8

Publisher

Springer (part of Springer Nature): Springer Open Choice Hybrid Journals

Additional URL

https://doi.org/10.1007/s00181-022-02311-8

Download

Share

COinS