Article ID Journal Published Year Pages File Type
5106421 International Journal of Forecasting 2017 14 Pages PDF
Abstract
Survey data on macro-forecasters suggest that their assessments of future output growth and inflation uncertainty tend to be too high. We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with ex post RMSE measures than are the survey respondents' perceptions. At shorter horizons, the models' assessments of the uncertainty characterising the outlook are lower than those indicated by the survey data histograms, and closer to the RMSE estimates. Recent developments in econometric modelling ensure that the models' information sets line up with the timing of information available to the survey respondents, thus enabling a fair comparison.
Related Topics
Social Sciences and Humanities Business, Management and Accounting Business and International Management
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