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Model and survey estimates of the term structure of US macroeconomic uncertainty
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Clements, Michael P. and Galvão, Ana Beatriz (2017) Model and survey estimates of the term structure of US macroeconomic uncertainty. International Journal of Forecasting, 33 (3). pp. 591-604. doi:10.1016/j.ijforecast.2017.01.004
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2017.01.004
Abstract
Survey data on macro-forecasters suggest that their assessments of future output growth and inflation uncertainty tend to be too high. We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with ex post RMSE measures than are the survey respondents’ perceptions. At shorter horizons, the models’ assessments of the uncertainty characterising the outlook are lower than those indicated by the survey data histograms, and closer to the RMSE estimates. Recent developments in econometric modelling ensure that the models’ information sets line up with the timing of information available to the survey respondents, thus enabling a fair comparison.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HB Economic Theory | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
| Library of Congress Subject Headings (LCSH): | Economic surveys -- United States, Macroeconomics, Economic development, Inflation (Finance) , Standard deviations | ||||||||
| Journal or Publication Title: | International Journal of Forecasting | ||||||||
| Publisher: | Elsevier | ||||||||
| ISSN: | 0169-2070 | ||||||||
| Official Date: | July 2017 | ||||||||
| Dates: |
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| Volume: | 33 | ||||||||
| Number: | 3 | ||||||||
| Page Range: | pp. 591-604 | ||||||||
| DOI: | 10.1016/j.ijforecast.2017.01.004 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||||||
| Grant number: | ES/K010611/1 (ESRC) |
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