Disagreement among Forecasters in G7 Countries
Jonas Dovern (),
Ulrich Fritsche () and
Jiri Slacalek ()
No 200906, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a distinct dynamic from disagreement about nominal variables (in ation and interest rate). Disagreement about real variables intensifes strongly during recessions, including the current one (by about 40 percent in terms of the interquartile range). Disagreement about nominal variables rises with their level, has fallen after 1998 or so (by 30 percent), and is considerably lower under independent central banks (by 35 percent). Cross-sectional dispersion for both groups increases with uncertainty about the underlying actual indicators, though to a lesser extent for nominal series. Countryby- country regressions for inflation and interest rates reveal that both the level of disagreement and its sensitivity to macroeconomic variables tend to be larger in Italy, Japan and the United Kingdom, where central banks became independent only around the mid-1990s. These findings suggest that more credible monetary policy can substantially contribute to anchoring of expectations about nominal variables; its e ects on disagreement about real variables are moderate.
Keywords: disagreement; survey expectations; monetary policy; forecasting (search for similar items in EconPapers)
JEL-codes: E31 E32 E37 E52 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_6_2009.pdf First version, 2009 (application/pdf)
Journal Article: Disagreement Among Forecasters in G7 Countries (2012)
Working Paper: Disagreement among forecasters in G7 countries (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:200906
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