EconPapers    
Economics at your fingertips  
 

The measurement and behavior of uncertainty: evidence from the ECB Survey of Professional Forecasters

Robert Rich (), Joseph Song and Joseph Tracy ()

No 588, Staff Reports from Federal Reserve Bank of New York

Abstract: We use matched point and density forecasts of output growth and inflation from the ECB Survey of Professional Forecasters to derive measures of forecast uncertainty, forecast dispersion, and forecast accuracy. We construct uncertainty measures from aggregate density functions as well as from individual histograms. The uncertainty measures display countercyclical behavior, and there is evidence of increased uncertainty for output growth and inflation since 2007. The results also indicate that uncertainty displays a very weak relationship with forecast dispersion, corroborating the findings of other recent studies indicating that disagreement is not a valid proxy for uncertainty. In addition, we find no correspondence between movements in uncertainty and predictive accuracy, suggesting that time-varying conditional variance estimates may not provide a reliable proxy for uncertainty. Last, using a regression equation that can be interpreted as a (G)ARCH-M-type model, we find limited evidence of linkages between uncertainty and levels of inflation and output growth.

Keywords: Uncertainty; European Central Bank; Economic forecasting; Inflation (Finance) (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr588.html (text/html)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr588.pdf (application/pdf)

Related works:
Journal Article: The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of Professional Forecasters (2016) Downloads
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:fip:fednsr:588

Ordering information: This working paper can be ordered from
http://www.ny.frb.org/rmaghome/staff_rp/

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Amy Farber ().

 
Page updated 2019-11-14
Handle: RePEc:fip:fednsr:588