The role of macroeconomic and policy uncertainty in density forecast dispersion

• Main Authors: LI, You, TAY, Anthony S.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Surveys of Professional Forecasts; Density Forecasts; Forecast Dispersion; Macroeconomic Uncertainty; Policy Uncertainty; Macroeconomics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2416; https://ink.library.smu.edu.sg/context/soe_research/article/3415/viewcontent/Li_and_Tay_2020_Uncertainty_and_Dispersion.pdf
• Institution: Singapore Management University

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 o...