Diversity, uncertainty, and accuracy of inflation forecasts
Uncertainty is a key concept in both economic theory and economic practice. Yet, economic forecasts are usually stated as single numbers, or "point estimates," that convey no information about the full array of possible outcomes. The dispersion of individual forecasters' point estimates is often used as an approximation of forecast uncertainty, even though it is neither logically nor empirically related. In fact, the diversity of point estimates is a poor guide to the accuracy of a point estimate forecast. ; This article examines explicit estimates of forecast uncertainty, taken from the Survey of Professional Forecasters. It concludes that most individuals' estimates of ~nflation and real GNP uncertainty are well calibrated at both the 50 and 90 percent, though not at the 100 percent, confidence intervals. In contrast, the mean probability distribution of all respondents is well calibrated at all three intervals. Despite their overall reliability, the uncertainty estimates are not correlated with the accuracy of point estimate forecasts. This lack of correlation should not be construed as evidence that uncertainty cannot be reliably anticipated, however.
Volume (Year): (1994)
Issue (Month): Jul ()
|Contact details of provider:|| Postal: 600 Atlantic Avenue, Boston, Massachusetts 02210|
Web page: http://www.bos.frb.org/
More information through EDIRC
|Order Information:|| Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-44, April.
- Lahiri, Kajal & Teigland, Christie, 1987. "On the normality of probability distributions of inflation and GNP forecasts," International Journal of Forecasting, Elsevier, vol. 3(2), pages 269-279.
- R. W. Hafer & Scott E. Hein, 1984.
"On the accuracy of time series, interest rate and survey forecasts of inflation,"
1984-022, Federal Reserve Bank of St. Louis.
- Hafer, R W & Hein, Scott E, 1985. "On the Accuracy of Time-Series, Interest Rate, and Survey Forecasts of Inflation," The Journal of Business, University of Chicago Press, vol. 58(4), pages 377-98, October.
- Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
- Victor Zarnowitz & Phillip Braun, 1993.
"Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance,"
in: Business Cycles, Indicators and Forecasting, pages 11-94
National Bureau of Economic Research, Inc.
- Victor Zarnowitz & Phillip Braun, 1992. "Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," NBER Working Papers 3965, National Bureau of Economic Research, Inc.
- Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
- Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August.
- Lahiri, Kajal & Teigland, Christie & Zaporowski, Mark, 1988. "Interest Rates and the Subjective Probability Distribution of Inflation Forecasts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 233-48, May.
- Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June.
- Dean Croushore, 1993. "Introducing: the survey of professional forecasters," Business Review, Federal Reserve Bank of Philadelphia, issue Nov, pages 3-15.
- Lahiri, Kajal & Zaporowski, Mark, 1987. "More Flexible Use of Survey Data on Expectations in Macroeconomic Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 68-76, January.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
- Stephen K. McNees, 1992. "How large are economic forecast errors?," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 25-42.
When requesting a correction, please mention this item's handle: RePEc:fip:fedbne:y:1994:i:jul:p:33-44. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Catherine Spozio)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.