How Informative are the Subjective Density Forecasts of Macroeconomists?
Thomas Kostka () and
Federico Masera ()
Journal of Forecasting, 2014, vol. 33, issue 3, 163-185
ABSTRACT In this paper, we propose a framework to evaluate the subjective density forecasts of macroeconomists using micro data from the euro area Survey of Professional Forecasters (SPF). A key aspect of our analysis is the use of evaluation measures which take account of the entire predictive densities, and not just the probability assigned to the outcome that occurs. Overall, we find considerable heterogeneity in the performance of the surveyed densities at the individual level. However, it is hard to exploit this heterogeneity and improve aggregate performance by trimming poorly performing forecasters in real time. Relative to a set of simple benchmarks, density performance is somewhat better for GDP growth than for inflation, although in the former case it diminishes substantially with the forecast horizon. In addition, we report evidence of an improvement in the relative performance of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear evidence of overconfidence or neglected risks in expert probability assessments, as reflected in frequent occurrences of events which are assigned a zero probability. Copyright © 2014 John Wiley & Sons, Ltd.
References: Add references at CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed
Downloads: (external link)
Working Paper: How informative are the subjective density forecasts of macroeconomists? (2012)
Working Paper: How Informative are the Subjective Density Forecasts of Macroeconomists? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:33:y:2014:i:3:p:163-185
Access Statistics for this article
Journal of Forecasting is currently edited by Derek W. Bunn
More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().