Arbeitspapier

Disagreement among forecasters in G7 countries

Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a distinct dynamic from disagreement about nominal variables (inflation and interest rate). Disagreement about real variables intensifies strongly during recessions, including the current one (by about 40 percent in terms of the interquartile range). Disagreement about nominal variables rises with their level, has fallen after 1998 or so (by 30 percent), and is considerably lower under independent central banks (by 35 percent). Cross-sectional dispersion for both groups increases with uncertainty about the underlying actual indicators, though to a lesser extent for nominal series. Country-by-country regressions for inflation and interest rates reveal that both the level of disagreement and its sensitivity to macroeconomic variables tend to be larger in Italy, Japan and the United Kingdom, where central banks became independent only around the mid-1990s. These findings suggest that more credible monetary policy can substantially contribute to anchoring of expectations about nominal variables; its effects on disagreement about real variables are moderate.

Language
Englisch

Bibliographic citation
Series: ECB Working Paper ; No. 1082

Classification
Wirtschaft
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Monetary Policy
Forecasting Models; Simulation Methods
Subject
disagreement
forecasting
monetary policy
survey expectations
Prognoseverfahren
Wirtschaftsindikator
Geldpolitik
Inflationserwartung
Zins
Regressionsanalyse
G7-Staaten

Event
Geistige Schöpfung
(who)
Dovern, Jonas
Fritsche, Ulrich
Slacalek, Jiri
Event
Veröffentlichung
(who)
European Central Bank (ECB)
(where)
Frankfurt a. M.
(when)
2009

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Dovern, Jonas
  • Fritsche, Ulrich
  • Slacalek, Jiri
  • European Central Bank (ECB)

Time of origin

  • 2009

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