Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/233293
Authors: 
Paloviita, Maritta
Viren, Matti
Year of Publication: 
2012
Series/Report no.: 
Discussion paper No. 77
Abstract: 
This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also investigated. We examine internal consistency of individual inflation and real GDP growth forecasts by estimating alternative specifications of the Phillips curve on a micro level. We also explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters’ uncertainty based on subjective probability distributions of survey respondents. Our analysis indicates that individual forecasters deviate systematically from each other. Moreover, inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to the hybrid specification of the New Keynesian Phillips curve. The results also indicate that inflation uncertainty has a negative impact on economic activity by increasing inflation and lowering the price sensitiveness of aggregate supply.
Subjects: 
Forecasting
Survey data
Phillips curve
Uncertainty
JEL: 
C53
E37
E31
Document Type: 
Working Paper

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