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

Fabian Baetje and Karola Friedrici

Economics Letters, 2016, vol. 143, issue C, 38-43

Abstract: 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.

Keywords: Real-time data; Data revisions; Forecast disagreement (search for similar items in EconPapers)
JEL-codes: C13 C22 E37 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:143:y:2016:i:c:p:38-43

DOI: 10.1016/j.econlet.2016.03.014

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