文章基本信息

标题：Macroeconomic Forecast Uncertainty in the Euro Area
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作者：Víctor López-Pérez ; Víctor López-Pérez
期刊名称：Equilibrium. Quarterly Journal of Economics and Economic Policy
印刷版ISSN：1689-765X
电子版ISSN：2353-3293
出版年度：2016
卷号：11
期号：1
页码：9-41
DOI：10.12775/EQUIL.2016.001
语种：English
出版社：Institute of Economic Research
摘要：This paper estimates aggregate measures of macroeconomic uncertainty from individual density forecasts by professional forecasters. The methodology used in the paper improves on the existing literature along two dimensions. Firstly, it controls for changes to the composition of the panel of respondents to the survey. And secondly, it assigns more weight to the information submitted by forecasters with better forecasting performance. Using data from the European Central Bank’s Survey of Professional Forecasters from 1999 Q1 to 2014 Q3, the paper finds that the effects of changes in the composition of the panel on aggregate un certainty can be large in a statistical and economic sense. It also finds that the estimates of aggregate uncertainty that use performance-based weights differ sig_x005f?nificantly from the simple averages used in the literature and their dynamics are more consistent with the dynamics displayed by the estimates of uncertainty com?puted from financial indicators.
关键词：macroeconomic uncertainty; Gini index; performance-based weights; Survey of Professional Forecasters; European Central Bank