Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence

- We analyze if disagreement among forecasters proxies for macroeconomic uncertainty.
- Uncertainty is measured by the revision structure of macroeconomic variables.
- Disagreement is positively and statistically significantly related to uncertainty.

We investigate the link between forecast dispersion and macroeconomic uncertainty resulting from the data revision structure of inflation and real output. We find that disagreement is significantly related to data uncertainty. However, results are considerably more distinctive for inflation uncertainty.