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Disagreement among Forecasters in G7 Countries

  • Jonas Dovern

    ()

    (Kiel Economics)

  • Ulrich Fritsche

    ()

    (Department for Socioeconomics, Department for Economics, University of Hamburg)

  • Jiri Slacalek

    ()

    (European Central Bank)

Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a distinct dynamic from disagreement about nominal variables (in ation and interest rate). Disagreement about real variables intensifes strongly during recessions, including the current one (by about 40 percent in terms of the interquartile range). Disagreement about nominal variables rises with their level, has fallen after 1998 or so (by 30 percent), and is considerably lower under independent central banks (by 35 percent). Cross-sectional dispersion for both groups increases with uncertainty about the underlying actual indicators, though to a lesser extent for nominal series. Countryby- country regressions for inflation and interest rates reveal that both the level of disagreement and its sensitivity to macroeconomic variables tend to be larger in Italy, Japan and the United Kingdom, where central banks became independent only around the mid-1990s. These findings suggest that more credible monetary policy can substantially contribute to anchoring of expectations about nominal variables; its e ects on disagreement about real variables are moderate.

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File URL: http://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_6_2009.pdf
File Function: First version, 2009
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Paper provided by Hamburg University, Department Wirtschaft und Politik in its series Macroeconomics and Finance Series with number 200906.

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Length: 61 pages
Date of creation: Sep 2009
Date of revision:
Handle: RePEc:hep:macppr:200906
Contact details of provider: Web page: http://www.wiso.uni-hamburg.de/dwp

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