预测不确定性——事前与事后:美国通胀与产出增长

Forecast Uncertainty—Ex AnteandEx Post: U.S. Inflation and Output Growth

Journal of Business & Economic Statistics · 2013
被引 106
人大 AABS 4

中文导读

研究调查受访者对宏观变量(美国通胀和产出增长)的点预测和直方图预测,发现预测者在一年及以上期限过度自信,短期则低估不确定性;事前不确定性在短期限仍高于事后度量,且个体事前主观评估与事后预测准确性关联不大。

Abstract

Survey respondents who make point predictions and histogram forecasts of macro-variables reveal both how uncertain they believe the future to be, ex ante, as well as their ex post performance. Macroeconomic forecasters tend to be overconfident at horizons of a year or more, but overestimate (i.e., are underconfident regarding) the uncertainty surrounding their predictions at short horizons. Ex ante uncertainty remains at a high level compared to the ex post measure as the forecast horizon shortens. There is little evidence of a link between individuals’ ex post forecast accuracy and their ex ante subjective assessments.

预测不确定性事前不确定性事后不确定性通胀预测产出增长预测