Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154112 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
ECB Working Paper No. 1679
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of common macroeconomic shocks, we apply cross-sectional and fixed effect panel regressions linking such density characteristics and density forecast performance. Our empirical results suggest that many macroeconomic experts could systematically improve their density performance by correcting a downward bias in their variances. Aside from this shortcoming in second moment characteristics of the individual densities, other higher moment features, such as skewness or variation in the degree of probability mass given to the tails of the predictive distributions tend - as a rule - not to contribute significantly to enhancing individual density forecast performance.
Schlagwörter: 
density forecasting
forecast evaluation
panel data
Survey of Professional Forecasters
JEL: 
C22
C53
Dokumentart: 
Working Paper

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