Uncertainty and macroeconomic forecasts: Evidence from survey data

Yajie Qiu, Bruno Deschamps and Xiaoquan Liu

Journal of Economic Behavior & Organization, 2024, vol. 224, issue C, 463-480

Abstract: This paper examines the effects of macroeconomic and financial uncertainty on professional economic forecasts. Using the predictions of four variables sourced from the Bloomberg survey, we find that macroeconomic uncertainty, a proxy for the complexity of the forecasting task, is associated with high disagreement and low accuracy. By contrast, the results show that financial uncertainty is associated with low disagreement and high accuracy, which suggests that financial uncertainty encourages forecasters to adhere to the consensus to avoid large forecast errors. Furthermore, we find that the forecaster rank moderates the effect of macroeconomic uncertainty, indicating that high-ability forecasters can better navigate periods of high uncertainty. This study advances the understanding of forecasting behavior under uncertainty.

Keywords: Uncertainty; Forecast disagreement; Forecast accuracy; Macroeconomic forecasts (search for similar items in EconPapers)
JEL-codes: C53 E24 E32 L83 Z3 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167268124002269
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:224:y:2024:i:c:p:463-480

DOI: 10.1016/j.jebo.2024.06.008

Access Statistics for this article

Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D.

More articles in Journal of Economic Behavior & Organization from Elsevier
Bibliographic data for series maintained by Catherine Liu ().