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Macroeconomic Uncertainty: Surveys Versus Models?

  • Michael P. Clements
Chapter
Part of the Palgrave Texts in Econometrics book series (PTEC)

Abstract

Estimates of output growth uncertainty and inflation uncertainty derived from the US SPF histograms appear under-confident at within-year horizons: the outlook for output growth and inflation at such horizons is less uncertain than the histogram forecasts suggest. Can more accurate estimates of the uncertainty related to these macro-aggregates be derived from models? The models considered include mixed-data sampling models to better align the models’ information sets with those of the survey respondents. Estimates are derived for the term structure of uncertainty: how uncertainty is resolved as the forecast horizon shortens. This is suggested by the fixed-event nature of the SPF histograms. The models’ ex ante forecasts of uncertainty are more in line with actual uncertainty as indicated by ex post RMSEs.

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Copyright information

© The Author(s) 2019

Authors and Affiliations

  • Michael P. Clements
    • 1
  1. 1.ICMA Centre, Henley Business SchoolUniversity of ReadingWheatleyUK

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