The behavior of uncertainty and disagreement and their roles in economic prediction: a panel analysis

Robert Rich and Joseph Tracy

No 808, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper examines point and density forecasts from the European Central Bank?s Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and disagreement, as well as their roles in respondents? forecast performance and forecast revisions. We observe substantial heterogeneity in respondents? uncertainty and disagreement. In addition, there is little co-movement between uncertainty and disagreement, and forecast performance shows a more robust inverse relationship with disagreement than with uncertainty. Further, forecast revisions display a more meaningful association with disagreement than with uncertainty: Those respondents displaying higher levels of disagreement revise their point and density forecasts by a larger amount.

Keywords: uncertainty; disagreement; ECB-SPF; density forecasts; point forecasts; forecast accuracy; forecast revisions (search for similar items in EconPapers)
JEL-codes: C10 C20 C40 (search for similar items in EconPapers)
Date: 2017-02-01
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (1)

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