TY  - UNPD
A1  - Wieland, Volker
A1  - Wolters, Maik Hendrik
T1  - The diversity of forecasts from macroeconomic models of the U.S. economy
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,08
N2  - This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal Reserve’s Greenbook and the Survey of Professional Forecasters (SPF). The model parameters and model forecasts are derived from historical data vintages so as to ensure comparability to historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts in terms of accuracy even though the models only make use of a small number of data series. Model forecasts compare particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity constitutes a potentially important source of economic fluctuations. While the particular reasons for diversity in professional forecasts are not observable, the diversity in model forecasts can be traced to different modeling assumptions, information sets and parameter estimates. JEL Classification: C53, D84, E31, E32, E37 Keywords: Forecasting, Business Cycles, Heterogeneous Beliefs, Forecast Distribution, Model Uncertainty, Bayesian Estimation
T3  - CFS working paper series - 2010, 08 
KW  - Forecasting
KW  - Business Cycles
KW  - Heterogeneous Beliefs
KW  - Forecast Distribution
KW  - Model Uncertainty
KW  - Bayesian Estimation
KW  - Versicherungsmarkt
KW  - Gleichgewicht
KW  - Verbraucher
KW  - Geduld
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7902
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-78618
IS  - May 20, 2010
ER  -