Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 17, 2011 erstellt
Description:
Survey data on expectations and economic forecasts play an important role in providing better insights into how economic agents make their own forecasts and why agents disagree in making them.Using data from the European Survey of Professional Forecasters (SPF), we consider measures of uncertainty and disagreement at both aggregate and individual level. We overcome the problem associated with distributional assumptions of probability density forecasts by using an approach that does not assume any functional form for the individual probability densities but just approximating the histogram by a piecewise linear function. We extend earlier works to the European context for the three macroeconomic variables: GDP, inflation and unemployment. We analyze how these measures perform with respect to different forecasting horizons.Uncertainty and disagreement are higher for GDP and unemployment than inflation, in particular for the short and medium forecast horizons. Besides this, it is difficult to find a common behavior between uncertainty and disagreement among the variables: results do not support evidence that, if uncertainty or disagreement are relatively high for one of the variable than it is the same for the others