Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro Area SPF

45 Pages Posted: 11 May 2013

See all articles by Geoff Kenny

Geoff Kenny

European Central Bank (ECB)

Thomas Kostka

European Central Bank (ECB)

Federico Masera

Universidad Carlos III de Madrid, Department of Economics

Date Written: April 17, 2013

Abstract

We propose methods to evaluate the risk assessments collected as part of the ECB Survey of Professional Forecasters (SPF). Our approach focuses on direction-of-change predictions as well as the prediction of relatively more extreme macroeconomic outcomes located in the upper and lower regions of the predictive densities. For inflation and GDP growth, we find such surveyed densities are informative about future direction of change. Regarding more extreme high and low outcome events, the surveys are really only informative about GDP growth outcomes and at short-horizons. The upper and lower regions of the predictive densities for inflation are much less informative.

Keywords: probability forecasts, forecast evaluation, calibration error, Survey of Professional Forecasters

JEL Classification: C22, C53

Suggested Citation

Kenny, Geoff and Kostka, Thomas and Masera, Federico, Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro Area SPF (April 17, 2013). ECB Working Paper No. 1540, Available at SSRN: https://ssrn.com/abstract=2252603

Geoff Kenny (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Thomas Kostka

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Federico Masera

Universidad Carlos III de Madrid, Department of Economics ( email )

Calle Madrid 126
Getafe, 28903
Spain

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