Disagreement versus uncertainty: Evidence from distribution forecasts

Fabian Krüger and Ingmar Nolte

Journal of Banking & Finance, 2016, vol. 72, issue S, S172-S186

Abstract: We use a cross-section of economic survey forecasts to predict the distribution of US macro variables in real time. This generalizes the existing literature, which uses disagreement (i.e., the cross-sectional variance of survey forecasts) to predict uncertainty (i.e., the conditional variance of future macroeconomic quantities). Our results show that cross-sectional information can be helpful for distribution forecasting, but this information needs to be modeled in a statistically efficient way in order to avoid overfitting. A simple one-parameter model which exploits time variation in the cross-section of survey point forecasts is found to perform well in practice.

Keywords: Forecasting; Survey data; Density forecasting; Disagreement; Uncertainty (search for similar items in EconPapers)
JEL-codes: C53 E17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:72:y:2016:i:s:p:s172-s186

DOI: 10.1016/j.jbankfin.2015.05.007

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