EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/54918
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorKenny, Geoffen_US
dc.contributor.authorKostka, Thomasen_US
dc.contributor.authorMasera, Federicoen_US
dc.date.accessioned2012-01-26T12:24:14Z-
dc.date.available2012-01-26T12:24:14Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/54918-
dc.description.abstractIn this paper, we propose a framework to evaluate the information content of subjective expert density forecasts using micro data from the ECB's Survey of Professional Forecasters (SPF). A key aspect of our analysis is the use of scoring functions which evaluate the entire predictive densities, including an evaluation of the impact of density features such as their location, spread, skew and tail risk on density forecast performance. Overall, we find considerable heterogeneity in the performance of the surveyed densities at the individual level. Relative to a set of crude benchmark alternatives, this performance is somewhat better for GDP growth than for inflation, although in the former case it diminishes substantially with the forecast horizon. In addition, relative to the proposed benchmarks, we report evidence of some improvement in the performance of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear evidence of overconfidence or neglected risks in the expert probability assessments, as reflected also in frequent occurrences of events which are assigned a zero probability. Moreover, higher moment features of the expert densities, such as their skew or the degree of probability mass in their tails, are shown not to contribute significantly to improvements in individual density forecast performance.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper: Empirical and Theoretical Methods 3671en_US
dc.subject.jelC22en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keyworddensity forecastsen_US
dc.subject.keywordforecast evaluationen_US
dc.subject.keywordreal-time dataen_US
dc.subject.keywordSurvey of Professional Forecastersen_US
dc.subject.stwSachverständigeen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwKonjunkturprognoseen_US
dc.subject.stwBewertungen_US
dc.subject.stwInformationswerten_US
dc.subject.stwEU-Staatenen_US
dc.titleHow informative are the subjective density forecasts of macroeconomists?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn679987444en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
679987444.pdf570.95 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.