Five Dimensions of the Uncertainty-Disagreement Linkage

47 Pages Posted: 21 Dec 2018 Last revised: 23 Jul 2019

See all articles by Alexander Glas

Alexander Glas

Friedrich-Alexander University

Date Written: December 3, 2018


We analyze the relationship between forecaster disagreement and macroeconomic uncertainty in the Euro area using data from the European Central Bank's Survey of Professional Forecasters for the period 1999Q1-2018Q4. We find that disagreement is generally a poor proxy for uncertainty. However, the strength of this link varies with the employed dispersion statistic, the choice of either the point forecasts or the histogram means to calculate disagreement, the considered outcome variable and the forecast horizon. In contrast, distributional assumptions do not appear to be very influential. The relationship is weaker during economically turbulent periods when indicators of uncertainty are needed most. Accounting for the entry and exit of forecasters to and from the survey has little impact on the results. We also show that survey-based uncertainty is associated with overall policy uncertainty, whereas forecaster disagreement is more closely related to the fluctuations on financial markets.

Keywords: Uncertainty, Disagreement, Survey of Professional Forecasters, Point Forecasts, Density Forecasts

JEL Classification: C10, C20, C83, E37

Suggested Citation

Glas, Alexander, Five Dimensions of the Uncertainty-Disagreement Linkage (December 3, 2018). Available at SSRN: or

Alexander Glas (Contact Author)

Friedrich-Alexander University ( email )


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