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Uncertainty over production forecasts: An empirical analysis using monthly quantitative survey data

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  • Morikawa, Masayuki

Abstract

This study, using monthly micro data on firms’ forecasted and realized production quantities, presents new evidence of the uncertainty of production forecasts. Forecast errors are heterogeneous among individual manufacturers. Firms operating in the information and communications technology-related industries, firms producing investment goods, and smaller firms exhibit greater forecast uncertainty. Forecast uncertainty is greater in the contractionary phases of the business cycle. The uncertainty measures that are calculated from the micro data can predict macroeconomic fluctuations. Additionally, the explanatory power of quantitative uncertainty measures is stronger than that of qualitative measures.

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  • Morikawa, Masayuki, 2019. "Uncertainty over production forecasts: An empirical analysis using monthly quantitative survey data," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 163-179.
  • Handle: RePEc:eee:jmacro:v:60:y:2019:i:c:p:163-179
    DOI: 10.1016/j.jmacro.2019.01.007
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    4. Morikawa, Masayuki, 2022. "Uncertainty in long-term macroeconomic forecasts: Ex post evaluation of forecasts by economics researchers," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 8-15.
    5. INADA Mitsuo & JINJI Naoto, 2020. "To What Degree does Policy Uncertainty Affect Foreign Direct Investment? Micro-evidence from Japan's International Investment Agreements," Discussion papers 20022, Research Institute of Economy, Trade and Industry (RIETI).
    6. Oscar Claveria, 0. "Uncertainty indicators based on expectations of business and consumer surveys," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 0, pages 1-23.
    7. MORIKAWA Masayuki, 2019. "Firms' Subjective Uncertainty and Forecast Errors," Discussion papers 19055, Research Institute of Economy, Trade and Industry (RIETI).
    8. Oscar Claveria, 2020. "“Measuring and assessing economic uncertainty”," AQR Working Papers 2012003, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2020.

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    More about this item

    Keywords

    Production quantity; Uncertainty; Forecast error; Manufacturing; Volatility;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General

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