Research Discussion Papers, Bank of Finland
No 8/2014:
Analysis of forecast errors in micro-level survey data
Maritta Paloviita ()
and Matti Viren ()
Abstract: This paper studies forecasts errors at the micro level
using two alternative survey data sets. The main focus is on inflation and
real GDP growth forecasts in the ECB Survey of Professional Forecasters.
For comparison, inflation forecasts in the US Survey of Professional
Forecasters are also examined. Our analysis indicates that forecast errors
are positively related to the subjective uncertainties based on probability
distributions, but not to disagreement (standard deviation of point
forecasts). We also show that forecast errors, which are rather persistent,
are related to forecast revisions. Revisions of expectations generally lead
to larger forecast errors. Subjective uncertainty measures, which are
available at the time of forecasting, are useful in assessing future
forecast errors.
Keywords: forecasting; survey data; expectations; (follow links to similar papers)
JEL-Codes: C53; E31; E37; (follow links to similar papers)
20 pages, February 25, 2014
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