Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence

被引：1

作者：

Baetje, Fabian ^{[1
]}

Friedrici, Karola ^{[1
]}

机构：

[1] Leibniz Univ Hannover, Dept Econ, Konigsworther Pl 1, D-30167 Hannover, Germany

来源：

ECONOMICS LETTERS | 2016年 / 143卷

关键词：

Real-time data; Data revisions; Forecast disagreement; TIME DATA SET; ANNOUNCEMENTS; DISAGREEMENT; INFORMATION; INFLATION; POLICY; NOISE; MONEY;

D O I：

10.1016/j.econlet.2016.03.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the link between forecast dispersion and macroeconomic uncertainty resulting from the data revision structure of inflation and real output. We find that disagreement is significantly related to data uncertainty. However, results are considerably more distinctive for inflation uncertainty. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：38 / 43

页数：6

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