Are macroeconomic forecasters optimists or pessimists? A reassessment of survey based forecasts

Huang, Rong; Pilbeam, Keith; Pouliot, William

Abstract

We examine the issue of macroeconomic uncertainty in the Eurozone Area using forecasts from the European Central Bank’s Survey of Professional Forecasters from the inception of the Euro in 1999Q1 to 2020Q2. We provide new insights concerning the optimism or pessimism of the distribution of forecasts by examining the 25 and 75 quartiles of the forecast distribution for each three key macro economic variables, GDP growth, inflation and unemployment. In addition, we examine the over- or under-confidence of forecasters in the survey by deriving the term structure of ex-ante uncertainty for up to 2 years ahead and compare it to ex-post uncertainty, enabling us to make some comparisons with existing US studies. Our results suggest that GDP growth forecasts tend towards optimism, while those for inflation and unemployment tend towards pessimism. In addition, ex-ante uncertainty in forecasts for the Eurozone Area is less than ex-post uncertainty at both the short and longer-term forecasting horizons, for all three variables. This suggests a tendency towards over-confidence on the part of Eurozone forecasters.

Citation

Huang, R., Pilbeam, K., & Pouliot, W. (2022). Are macroeconomic forecasters optimists or pessimists? A reassessment of survey based forecasts. Journal of Economic Behavior and Organization, 197, 706-724. https://doi.org/10.1016/j.jebo.2022.03.012

• Journal Article Type: Article
• Acceptance Date: Mar 13, 2022
• Online Publication Date: Apr 8, 2022
• Publication Date: May 1, 2022
• Deposit Date: Apr 22, 2022
• Publicly Available Date: Oct 9, 2023
• Journal: Journal of Economic Behavior and Organization
• Print ISSN: 0167-2681
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 197
• Pages: 706-724
• DOI: https://doi.org/10.1016/j.jebo.2022.03.012
• Public URL: https://nottingham-repository.worktribe.com/output/7786958
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0167268122000944?via%3Dihub