Five dimensions of the uncertainty–disagreement linkageInternational Journal of Forecasting, 2020, vol. 36, issue 2, 607-627 Abstract: We analyze the relationship between forecaster disagreement and macroeconomic uncertainty in the Euro area using data from the European Central Bank’s Survey of Professional Forecasters for the period 1999Q1–2018Q4 and find that disagreement is generally a poor proxy for uncertainty. However, the strength of this link varies with the dispersion statistic employed, the choice of either the point forecasts or the histogram means for calculating disagreement, the outcome variable considered and the forecast horizon. In contrast, distributional assumptions do not appear to be very influential. The relationship is weaker in subsamples before and after the outbreak of the Great Recession. Accounting for the forecasters’ entry to and exit from the survey has little impact on the results. We also show that survey-based uncertainty is associated with overall policy uncertainty, whereas forecaster disagreement is related more closely to the expected fluctuations on financial markets. Keywords: Uncertainty; Disagreement; Survey of Professional Forecasters; Point forecasts; Density forecasts (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:36:y:2020:i:2:p:607-627 DOI: 10.1016/j.ijforecast.2019.07.010 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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