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Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence

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  • Baetje, Fabian
  • Friedrici, Karola

Abstract

We investigate the link between forecast dispersion and macroeconomic uncertainty resulting from the data revision structure of inflation and real output. We find that disagreement is significantly related to data uncertainty. However, results are considerably more distinctive for inflation uncertainty.

Suggested Citation

  • Baetje, Fabian & Friedrici, Karola, 2016. "Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence," Economics Letters, Elsevier, vol. 143(C), pages 38-43.
    • Handle: RePEc:eee:ecolet:v:143:y:2016:i:c:p:38-43
    DOI: 10.1016/j.econlet.2016.03.014
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    Cited by:

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    3. Paula Margaretic & Sebastián Becerra, 2017. "Dispersed Information and Sovereign Risk Premia," Working Papers Central Bank of Chile 808, Central Bank of Chile.
    4. Katharina Glass, 2018. "Predictability of Euro Area Revisions," Macroeconomics and Finance Series 201801, University of Hamburg, Department of Socioeconomics.
    5. Tony Chernis & Chris D'Souza & Kevin MacLean & Tasha Reader & Joshua Slive & Farrukh Suvankulov, 2022. "The Business Leaders’ Pulse—An Online Business Survey," Discussion Papers 2022-14, Bank of Canada.

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    More about this item

    Keywords

    Real-time data; Data revisions; Forecast disagreement;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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