The Term Structure of Uncertainty: New Evidence from Survey Expectations
| Autor: | Tucker McElroy, Carola Binder, Xuguang Simon Sheng |
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| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
050208 finance Information set Horizon (archaeology) Noise (signal processing) Survey of Professional Forecasters European central bank 05 social sciences Kalman filter Term (time) Accounting Signal extraction 0502 economics and business Economics Econometrics 050207 economics Volatility (finance) Construct (philosophy) Finance |
| Zdroj: | Journal of Money, Credit and Banking. 54:39-71 |
| ISSN: | 1538-4616 0022-2879 |
| DOI: | 10.1111/jmcb.12811 |
| Popis: | We construct measures of individual forecasters' subjective uncertainty at horizons ranging from one to five years, incorporating a rich information set from the European Central Bank's Survey of Professional Forecasters. We find that the uncertainty curve is more linear than the disagreement curve --- uncertainty at the one-year and two-year horizons can almost perfectly predict uncertainty at the five-year horizon, but not so for disagreement. We document substantial heterogeneity across forecasters in both the level and the term structure of uncertainty, and show that the difference between long-run and short-run uncertainty is procyclical. We develop a signal extraction model that features (i) Kalman filter updating, (ii) time-varying uncertainty and (iii) multi-step ahead forecasting. Our model implies that the heterogeneous patterns of uncertainty over different time horizons depend on forecaster's perceived persistence and volatility of the signal and the noise. |
| Databáze: | OpenAIRE |
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