The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of Professional Forecasters
利用欧洲央行专业预测者调查中的点预测和密度预测数据，构建了产出增长、通胀和失业的不确定性度量，发现其呈逆周期特征且自2007年以来所有预测期限的不确定性均上升，同时指出预测离散度和预测准确性不能可靠替代不确定性。
We examine matched point and density forecasts of output growth, inflation and unemployment from the ECB Survey of Professional Forecasters. We construct measures of uncertainty from individual histograms, and find that the measures display countercyclical behavior and have increased across all forecast horizons since 2007. We also derive measures of forecast dispersion and forecast accuracy, and find that they are not reliable proxies for uncertainty. There is, however, evidence of a meaningful co-movement between uncertainty and aggregate point predictions for output growth and unemployment. These results are robust to changes in the composition of the survey respondents over time. Copyright © 2015 John Wiley & Sons, Ltd.