Measures of macroeconomic uncertainty for the ECB’s survey of professional forecasters
Ver/
Identificadores
URI: http://hdl.handle.net/10317/4248Compartir
Métricas
Estadísticas
Ver Estadísticas de usoMetadatos
Mostrar el registro completo del ítemAutor
López Pérez, VíctorÁrea de conocimiento
Economía AplicadaFecha de publicación
2014-12-04Revisión por pares
SíPalabras clave
UncertaintySurvey of Professional Forecasters
Entropy
Gini index
European Central Bank
Resumen
This paper investigates to what extent different uncertainty measures commonly used in the SPF literature comply with a few reasonable properties. The measures published by the ECB in its quarterly report of the SPF results do not verify almost any of the properties. Unfortunately, the alternatives typically proposed in the literature do not perform much better under this metric. Instead, entropy-based measures and a new measure based on the Gini index seem more satisfactory in this regard. Independently of the measure chosen, the aggregation of the results from all the participants in each survey round may produce misleading results: they may compound true changes in uncertainty with artificial changes due to the variations in the panel of respondents to the survey. Using an aggregate measure of uncertainty from the subsets of forecasters that replied to two consecutive survey rounds, the paper finds significant increases in macroeconomic uncertainty in the euro area from 2001 to 2004, ...
Colecciones
- Artículos [1733]
El ítem tiene asociados los siguientes ficheros de licencia:
Redes sociales