| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP7870
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| DP7870 The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy |
| Volker Wieland; Maik Wolters
|
| 发表日期 | 2010-06-01
|
| 出版年 | 2010
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| 语种 | 英语
|
| 摘要 | This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal Reserve's Greenbook and the Survey of Professional Forecasters (SPF). The model parameters and model forecasts are derived from historical data vintages so as to ensure comparability to historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts in terms of accuracy even though the models only make use of a small number of data series. Model forecasts compare particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity constitutes a potentially important source of economic fluctuations. While the particular reasons for diversity in professional forecasts are not observable, the diversity in model forecasts can be traced to different modeling assumptions, information sets and parameter estimates. |
| 主题 | International Macroeconomics
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| 关键词 | Bayesian estimation
Business cycles
Forecast distribution
Forecasting
Heterogeneous beliefs
Model uncertainty
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| URL | https://cepr.org/publications/dp7870
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536707
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推荐引用方式
GB/T 7714 |
Volker Wieland,Maik Wolters. DP7870 The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy. 2010.
|
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