Disagreement versus uncertainty:evidence from distribution forecasts

Krueger, Fabian and Nolte, Ingmar (2016) Disagreement versus uncertainty:evidence from distribution forecasts. Journal of Banking and Finance, 72 (Suppl.). pp. 172-186. ISSN 0378-4266

[img]
Preview
PDF (Krueger_Nolte2015-full)
Krueger_Nolte2015_full.pdf - Accepted Version
Available under License Creative Commons Attribution.

Download (2MB)

Abstract

We use a cross-section of economic survey forecasts to predict the distribution of US macro variables in real time. This generalizes the existing literature, which uses disagreement (i.e., the cross-sectional variance of survey forecasts) to predict uncertainty (i.e., the conditional variance of future macroeconomic quantities). Our results show that cross-sectional information can be helpful for distribution forecasting, but this information needs to be modeled in a statistically efficient way in order to avoid overfitting. A simple one-parameter model which exploits time variation in the cross-section of survey point forecasts is found to perform well in practice.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Banking and Finance
Additional Information:
This is the author’s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance, 72 2016 DOI: 10.1016/j.jbankfin.2015.05.007
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
ID Code:
74093
Deposited By:
Deposited On:
18 Jun 2015 06:01
Refereed?:
Yes
Published?:
Published
Last Modified:
24 Oct 2020 03:27