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Subjective and Ex Post Forecast Uncertainty : US Inflation and Output Growth

Author

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  • Clements, Michael P

    (Department of Economics, University of Warwick)

Abstract

Survey respondents who make point predictions and histogram forecasts of macrovariables reveal both how uncertain they believe the future to be, ex ante, as well as their ex post performance. Macroeconomic forecasters tend to be overconfident at horizons of a year or more, but over-estimate the uncertainty surrounding their predictions at short horizons. JEL classification: C53

Suggested Citation

  • Clements, Michael P, 2012. "Subjective and Ex Post Forecast Uncertainty : US Inflation and Output Growth," The Warwick Economics Research Paper Series (TWERPS) 995, University of Warwick, Department of Economics.
  • Handle: RePEc:wrk:warwec:995
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    File URL: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/2012/twerp_995.pdf
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    References listed on IDEAS

    as
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    Keywords

    Subjective uncertainty ; realized uncertainty ; output growth forecasts ; inflation forecasts.;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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