A1327
Title: Survey design and professional forecasters: The case of uncertainty in the US SPF
Authors: Malte Knueppel - Deutsche Bundesbank (Germany) [presenting]
Lora Pavlova - ZEW (Germany)
Abstract: Histogram forecasts of growth and inflation from the US Survey of Professional Forecasters (SPF) allow for an assessment of the evolution of forecast uncertainty. However, this assessment is complicated by structural breaks in measured uncertainty arising from changes in histogram bin widths. These breaks remain insufficiently addressed in the existing literature. An adjustment approach is proposed based on a structural break in 2014, during which bin widths, and consequently, measured inflation uncertainty, shifted significantly, despite true inflation uncertainty remaining virtually constant. Drawing on the results, revised bin widths to align measured uncertainty more closely with underlying uncertainty are proposed. It is recommended to differentiate bin widths between current-year and next-year forecasts.
