What does forecaster disagreement tell us about the state of the economy?

Constantin Bürgi and Tara Sinclair

Applied Economics Letters, 2021, vol. 28, issue 1, 49-53

Abstract: This article shows in a simple model that the part of uncertainty measured by forecaster disagreement rises in advance of and during recessions. Subsequently, it is tested using the Survey of Professional Forecasters in a dynamic probit model. It is shown that increases in disagreement help predict recessions in an out-of-sample context for the US.

Date: 2021
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Working Paper: What Does Forecaster Disagreement Tell Us about the State of the Economy? (2020)
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DOI: 10.1080/13504851.2020.1730751

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