Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may ABSTRACTIn this paper, we propose a framework to evaluate the subjective density forecasts of macroeconomists using micro data from the euro area Survey of Professional Forecasters (SPF). A key aspect of our analysis is the evaluation of the entire predictive densities, including an evaluation of the impact of density features such as location, spread, skew and tail risk on density forecast performance. Overall, we find considerable heterogeneity in the performance of the surveyed densities at the individual level. Relative to a set of simple benchmarks, this performance is somewhat better for GDP growth than for inflation, although in the former case it diminishes substantially with the forecast horizon. In addition, we report evidence of some improvement in the relative performance of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear evidence of overconfidence or neglected risks in expert probability assessments, as reflected in frequent occurrences of events which are assigned a zero probability. Moreover, higher moment features of expert densities, such as skew or the degree of probability mass in their tails, are shown not to contribute significantly to improvements in individual density forecast performance.Keywords: forecast evaluation, neglected risks, real-time data, Survey of Professional Forecasters Non-technical summaryEconomic agents and policy makers often rely on macroeconomic risk and uncertainty assessments to inform their choices and decisions. Formally, such expert assessments are represented in the form of a complete density forecast which summarises the probability attaching to all possible future outcomes and not just a central or most likely outcome. Not much, however, is really known concerning the overall quality and accuracy of this type of information. For example, are macroeconomic experts able to provide risk and uncertainty predictions that are superior to simple rules of thumb or even very naïve statistical statements, e.g. equivalent to flipping a coin? If so, which specific features of these density forecasts contribute to strengthening their predictive power? Additionally, are macroeconomic experts better able to assess the uncertainty surrounding some economic variables, such as output growth, rather than others such as inflation? Or, do such risk assessments have equivalent "validity" or information content at both sho...
Using new panel data from a representative survey of households in the six largest euro area economies, the paper estimates the impact of the Covid-19 crisis on consumption. The panel provides, each month, householdspecific indicators of the concern about finances due to Covid-19 from the first peak of the pandemic until October 2020. The results show that this concern causes a significant reduction in non-durable consumption. The paper also explores the potential impact on consumption of government interventions and of another wave of Covid-19, using household-level consumption adjustments to scenarios that involve positive and negative income shocks. Pandemic-related financial concerns induce a significant reduction (increase) in the marginal propensity to consume in response to a positive (negative) income shock, an effect consistent with models of precautionary saving and liquidity constraints. These results are robust to endogeneity problems through the use of panel fixed effects models as well as partial identification methods that account also for time-varying unobservable variables, and provide informative identification regions of the average treatment effect of the financial concern due to Covid-19 under weak assumptions.
This paper uses survey data in order to analyse and assess the empirical properties of consumers’ inflation expectations in the euro area and explores their role in explaining the observed dynamics of inflation. The probability approach is used to derive quantitative estimates of euro area inflation expectations from the qualitative data from the European Commission’s Consumer Survey. The paper subsequently analyses the empirical properties of the estimated inflation expectations by considering the extent to which they fulfil some of the necessary conditions for rationality. The results suggest an intermediate form of rationality. In particular, the surveyed expectations are an unbiased predictor of future price developments and they incorporate – though not always completely – the information contained in a broad set of macroeconomic variables. In addition, although persistent deviations between consumers’ expectations and the rational outcome have occurred, consumers are shown to rationally adjust their expectations in order to eventually “weed out” any systematic expectational errors...Inflation Expectations, Surveys, Rationality, Hybrid Phillips Curves, Euro Area
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