An evaluation of the Survey of Professional Forecasters probability distributions of expected inflation and output growth
نویسنده
چکیده
Regression-based tests of forecast probabilities of particular events of interest are constructed. The event forecast probabilities are derived from the SPF density forecasts of expected inflation and output growth. Tests of the event probabilities supplement statistically-based assessments of the forecast densities using the probability integral transform approach. The regression-based tests assess whether the forecast probabilities of particular events are equal to the true probabilities, and whether any systematic divergences between the two are related to variables in the agents’ information set at the time the forecasts were made. Forecast encompassing tests are also used to assess the quality of the event probability forecasts. Journal of Economic Literature classification: C53.
منابع مشابه
Inflation and output growth uncertainty in individual survey expectations
This paper studies uncertainty using the ECB Survey of Professional Forecasters’ data. We consider both inflation and real GDP growth forecasts at the micro level and explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters’ uncertainty, which are based on subjective probabilit...
متن کاملProbability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation
We consider whether survey respondents’probability distributions, reported as histograms, provide reliable and coherent point predictions, when viewed through the lens of a Bayesian learning model, and whether they are well calibrated more generally. We argue that a role remains for eliciting directly-reported point predictions in surveys of professional forecasters.
متن کاملConstructing bivariate density forecasts of inflation and output growth using copulae: modelling dependence using the Survey of Professional Forecasters
Traditionally density forecasts of inflation and output growth are published separately without any obvious indication of how they are related. But ‘flexible’ inflation targeting motivates concern with the underlying bivariate density forecast. This paper, therefore, suggests use of copulae to model the dependence between known marginal density forecasts. Estimated copula functions are used to ...
متن کاملInflation Determinants in Low and High Frequencies: An Implication of Spectral Analysis to Iran
There is no evidence that previous studies, available to Iran’s inflation literature, have used spectral methodology to analyze a possible relationship between inflation and its main determinants within a specific period. Accordingly, the present study investigates the effects of money growth, real output growth, output gap and interest rate changes on inflation at low and high frequencies...
متن کاملAre Empirical Measures of Macroeconomic Uncertainty Alike?
This paper considers a plethora of time-series measures of uncertainty for inflation and real output growth, which are widely used in empirical studies. Their relative performances are compared to a benchmark measure using the uncertainty measure reported by individual forecasters in the Survey of Professional Forecasters (SPF) for the period 1982-2008. The results show that the use of real-tim...
متن کامل