The role of macroeconomic, policy, and forecaster uncertainty in forecast dispersion

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 t...

Full description

Saved in:
Bibliographic Details
Main Authors: LI, You, TAY, Anthony S.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/2134
https://ink.library.smu.edu.sg/context/soe_research/article/3134/viewcontent/Disagreement_v0_.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Description
Summary: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.