A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area

Robert Rich and Joseph Tracy

No 1811, Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper examines point and density forecasts of real GDP growth, inflation and unemployment from the European Central Bank?s Survey of Professional Forecasters. We present individual uncertainty measures and introduce individual point- and density-based measures of disagreement. The data indicate substantial heterogeneity and persistence in respondents? uncertainty and disagreement, with uncertainty associated with prominent respondent effects and disagreement associated with prominent time effects. We also examine the co-movement between uncertainty and disagreement and find an economically insignificant relationship that is robust to changes in the volatility of the forecasting environment. This provides further evidence that disagreement is not a reliable proxy for uncertainty.

Keywords: Disagreement; Uncertainty; Point Forecasts; Density Forecasts; Heterogeneity; ECB Survey of Professional Forecasters (search for similar items in EconPapers)
JEL-codes: C10 C12 C23 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2018-07-24
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area (2021)
Working Paper: A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddwp:1811

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DOI: 10.24149/wp1811

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