Are individual survey expectations internally consistent?

Maritta Paloviita () and Matti Viren ()
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Matti Viren: Bank of Finland, University of Turku

No 140, NBP Working Papers from Narodowy Bank Polski

Abstract: This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also investigated. We examine internal consistency of individual inflation and real GDP growth forecasts by estimating alternative specifications of the Phillips curve on a micro level. We also explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters’ uncertainty based on subjective probability distributions of survey respondents. Our analysis indicates that individual forecasters deviate systematically from each other. Moreover, inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to the hybrid specification of the New Keynesian Phillips curve. The results also indicate that inflation uncertainty has a negative impact on economic activity by increasing inflation and lowering the price sensitiveness of aggregate supply.

Keywords: Forecasting; Survey data; Expectations; Phillips curve (search for similar items in EconPapers)
JEL-codes: C53 E31 E37 (search for similar items in EconPapers)
Pages: 29
Date: 2013
New Economics Papers: this item is included in nep-for
Note: ARE WE REALLY FORWARD-LOOKING? MEASURING AND TESTING EXPECTATIONS – CENTRAL BANK PERSPECTIVE, National Bank of Poland, 29-30 November, 2012 Warsaw
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Citations: View citations in EconPapers (8)

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Working Paper: Are individual survey expectations internally consistent? (2012)
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