Analysis of forecast errors in micro-level survey data

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Title: Analysis of forecast errors in micro-level survey data
Author: Paloviita, Maritta ; Virén, Matti
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
Series number: 8/2014
Year of publication: 2014
Publication date: 24.2.2014
Pages: 20 s.
Keywords: ennusteet; virheet; odotukset; inflaatio; bkt; talouskasvu; USA; EKP; euroalue; epävarmuus; haastattelututkimukset
JEL: C53; E37; E31
Abstract: This paper studies forecasts errors at the micro level using two alternative survey data sets. The main focus is on inflation and real GDP growth forecasts in the ECB Survey of Professional Forecasters. For comparison, inflation forecasts in the US Survey of Professional Forecasters are also examined. Our analysis indicates that forecast errors are positively related to the subjective uncertainties based on probability distributions, but not to disagreement (standard deviation of point forecasts). We also show that forecast errors, which are rather persistent, are related to forecast revisions. Revisions of expectations generally lead to larger forecast errors. Subjective uncertainty measures, which are available at the time of forecasting, are useful in assessing future forecast errors. Key words: Forecasting, Survey data, Expectations JEL Classification: C53, E37, E31

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