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Are individual survey expectations internally consistent?

Author

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  • Maritta Paloviita

    (Bank of Finland)

  • Matti Viren

    (Bank of Finland, University of Turku)

Abstract

This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also investigated. We examine internal consistency of individual inflation and real GDP growth forecasts by estimating alternative specifications of the Phillips curve on a micro level. We also explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters’ uncertainty based on subjective probability distributions of survey respondents. Our analysis indicates that individual forecasters deviate systematically from each other. Moreover, inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to the hybrid specification of the New Keynesian Phillips curve. The results also indicate that inflation uncertainty has a negative impact on economic activity by increasing inflation and lowering the price sensitiveness of aggregate supply.

Suggested Citation

  • Maritta Paloviita & Matti Viren, 2013. "Are individual survey expectations internally consistent?," NBP Working Papers 140, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:140
    Note: ARE WE REALLY FORWARD-LOOKING? MEASURING AND TESTING EXPECTATIONS – CENTRAL BANK PERSPECTIVE, National Bank of Poland, 29-30 November, 2012 Warsaw
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    References listed on IDEAS

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    Cited by:

    1. Jeffrey C. Fuhrer, 2018. "Intrinsic expectations persistence: evidence from professional and household survey expectations," Working Papers 18-9, Federal Reserve Bank of Boston.
    2. repec:hal:spmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1 is not listed on IDEAS
    3. repec:spo:wpmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1 is not listed on IDEAS
    4. Jeffrey C. Fuhrer, 2015. "Expectations as a source of macroeconomic persistence: an exploration of firms' and households' expectation formation," Working Papers 15-5, Federal Reserve Bank of Boston.
    5. Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," Documents de Travail de l'OFCE 2016-02, Observatoire Francais des Conjonctures Economiques (OFCE).
    6. Paul Hubert & Becky Maule, 2021. "Policy and Macro Signals from Central Bank Announcements," International Journal of Central Banking, International Journal of Central Banking, vol. 17(2), pages 255-296, June.

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    More about this item

    Keywords

    Forecasting; Survey data; Expectations; Phillips curve;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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