What Does Forecaster Disagreement Tell Us about the State of the Economy?

Constantin Bürgi and Tara Sinclair

No 2020-001, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: This paper shows in a simple model that the part of uncertainty measured by forecaster disagreement rises in advance of and during recessions. Subsequently, it is tested using the Survey of Professional Forecasters in a dynamic probit model. It is shown that increases in disagreement help predict recessions in an out of sample context for the US.

Keywords: Expectations; SPF; Uncertainty; Dynamic Probit (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 E17 E37 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2020-02
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://www2.gwu.edu/~forcpgm/2020-001.pdf First version, 2020 (application/pdf)

Related works:
Journal Article: What does forecaster disagreement tell us about the state of the economy? (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:gwc:wpaper:2020-001

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