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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

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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
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:
DateEvent
July 2017Published
17 April 2017Available
3 February 2017Accepted
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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