Uncertainty over Production Forecasts: Analysis using micro time-series data from manufacturing firms (Japanese)

This study, using monthly micro data of manufacturing firms' forecasts and realized production quantity, presents new findings on uncertainty over production forecasts. This is the first empirical study employing monthly-frequency quantitative forecast data at the firm level. According to the analysis, forecast errors are quite heterogeneous among Japanese manufacturers. For example, some firms underpredict their production even when aggregated industry-level production is overpredicted. By firm characteristics, firms operating in information and communications technology (ICT)-related industries, firms producing investment goods, and smaller firms exhibit higher production uncertainty. The production uncertainty is greater in recessionary periods. The uncertainty measures calculated from firm-level data have a predictive power over macroeconomic fluctuations, which cannot be detected from the measures using publicly available aggregated data, suggesting the value of firm-level micro data. finally, production uncertainty of Japanese manufacturing firms is strongly associated with global policy uncertainty as well as Japan's own economic policy uncertainty.