Measuring Uncertainty and Disagreement in the European Survey of Professional Forecasters
Cristina Conflitti ()
OECD Journal: Journal of Business Cycle Measurement and Analysis, 2012, vol. 2011, issue 2, pages 69-103
Survey data on expectations and economic forecasts play an important role in providing better insights into how economic agents make their own forecasts and why agents disagree in making them. Using data from the European Survey of Professional Forecasters (SPF), we consider measures of uncertainty and disagreement at both aggregate and individual level. We overcome the problem associated with distributional assumptions of probability density forecasts by using an approach that does not assume any functional form for the individual probability densities but just approximates the histogram by a piecewise linear function. We extend earlier works to the European context for the three macroeconomic variables – GDP, inflation and unemployment – and we analyse how these measures perform with respect to different forecasting horizons. There are two main results. First, uncertainty and disagreement are higher for GDP and unemployment than inflation, in particular for the short and medium forecast horizons. Second, the results do not support the evidence that, if uncertainty or disagreement are relatively high for one variable, then it is the same for the others. JEL classification: C53, E37, C83. Keywords: Survey professional forecast, uncertainty, disagreement, probability distribution.
References: Add references at CitEc
Citations View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
Full text available to READ online. PDF download available to OECD iLibrary subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:oec:stdkab:5kg0p9zzp26k
Access Statistics for this article
More articles in OECD Journal: Journal of Business Cycle Measurement and Analysis from OECD Publishing, Centre for International Research on Economic Tendency Surveys Contact information at EDIRC.
Series data maintained by ().