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Does uncertainty affect non-response to the European Central Bank's survey of professional forecasters?

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  • López-Pérez, Víctor

Abstract

This paper explores how changes in macroeconomic uncertainty have affected the decision to reply to the European Central Bank's Survey of Professional Forecasters (ECB's SPF). The results suggest that higher (lower) aggregate uncertainty increases (reduces) non-response to the survey. This effect is statistically and economically significant. Therefore, the assumption that individual ECB's SPF data are missing at random may not be appropriate. Moreover, the forecasters that perceive more individual uncertainty seem to have a lower likelihood of replying to the survey. Consequently, measures of uncertainty computed from individual ECB's SPF data could be biased downwards.

Suggested Citation

  • López-Pérez, Víctor, 2016. "Does uncertainty affect non-response to the European Central Bank's survey of professional forecasters?," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 10, pages 1-47.
  • Handle: RePEc:zbw:ifweej:201625
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    File URL: http://dx.doi.org/10.5018/economics-ejournal.ja.2016-25
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    File URL: https://www.econstor.eu/bitstream/10419/147299/1/871004801.pdf
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    References listed on IDEAS

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    1. Jeffrey M. Wooldridge, 2005. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 39-54.
    2. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    3. Adina Popescu & Frank Rafael Smets, 2010. "Uncertainty, Risk-taking, and the Business Cycle in Germany," CESifo Economic Studies, CESifo, vol. 56(4), pages 596-626, December.
    4. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
    5. Maritta Paloviita & Matti Viren, 2014. "Inflation and output growth uncertainty in individual survey expectations," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 69-81, February.
    6. Jaewoo Lee & Pau Rabanal & Damiano Sandri, 2010. "U.S. Consumption after the 2008 Crisis," IMF Staff Position Notes 2010/01, International Monetary Fund.
    7. Haddow, Abigail & Hare, Chris & Hooley, John & Shakir, Tamarah, 2013. "Macroeconomic uncertainty: what is it, how can we measure it and why does it matter?," Bank of England Quarterly Bulletin, Bank of England, vol. 53(2), pages 100-109.
    8. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
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    More about this item

    Keywords

    Non-response; uncertainty; Survey of Professional Forecasters; European Central Bank;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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