Macroeconomic Uncertainty: Surveys Versus Models?
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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