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Uncertainty over production forecasts: An empirical analysis using monthly quantitative survey data

Masayuki Morikawa

Journal of Macroeconomics, 2019, vol. 60, issue C, 163-179

Abstract: This study, using monthly micro data on firms’ forecasted and realized production quantities, presents new evidence of the uncertainty of production forecasts. Forecast errors are heterogeneous among individual manufacturers. Firms operating in the information and communications technology-related industries, firms producing investment goods, and smaller firms exhibit greater forecast uncertainty. Forecast uncertainty is greater in the contractionary phases of the business cycle. The uncertainty measures that are calculated from the micro data can predict macroeconomic fluctuations. Additionally, the explanatory power of quantitative uncertainty measures is stronger than that of qualitative measures.

Keywords: Production quantity; Uncertainty; Forecast error; Manufacturing; Volatility (search for similar items in EconPapers)
JEL-codes: D84 E32 E66 L60 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:jmacro:v:60:y:2019:i:c:p:163-179