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Unsicherheitsabhängige Konfidenzintervalle für WIFO-Konjunkturprognosen

Author

Listed:
  • Christian Glocker

    (WIFO)

  • Serguei Kaniovski

Abstract

Dieser Beitrag entwickelt eine Methode zur Bestimmung von Konfidenzintervallen für makroökonomische Prognosen, die quantitative Unsicherheitsmaße – etwa umfragebasierte Indikatoren, die Aktienmarktvolatilität und Kennzahlen zur wirtschaftspolitischen Unsicherheit – unmittelbar berücksichtigt. Dadurch passt sich die Intervallbreite systematisch an die jeweils herrschende Unsicherheit an. Da der Ansatz informativere und kontextsensitivere Aussagen ermöglicht als traditionelle statische Verfahren, die allein auf vergangenen Prognosefehlern beruhen, erleichtert und verbessert er die Kommunikation der Prognoseergebnisse. Eine empirische Anwendung auf frühere WIFO-Konjunkturprognosen belegt seinen Mehrwert.

Suggested Citation

  • Christian Glocker & Serguei Kaniovski, 2025. "Unsicherheitsabhängige Konfidenzintervalle für WIFO-Konjunkturprognosen," WIFO Monatsberichte (monthly reports), WIFO, vol. 98(11), pages 631-637, November.
    • Handle: RePEc:wfo:monber:y:2025:i:11:p:631-637
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    References listed on IDEAS

    as
    1. Ahmad Razi & Po Ling Loke, 2017. "Fan Chart: The art and science of communicating uncertainty," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.
    2. Maximo Camacho & Agustin Garcia‐Serrador, 2014. "The Euro‐Sting Revisited: The Usefulness of Financial Indicators to Obtain Euro Area GDP Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 186-197, April.
    3. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474, December.
    4. Christian Glocker & Serguei Kaniovski, 2025. "Enhancing Macroeconomic Forecasts with Uncertainty-Informed Intervals," WIFO Working Papers 710, WIFO.
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