This paper evaluates the quality of survey forecasts, their accuracy and unbiasedness, and their overall consistency. The paper also tries to find out whether the relationships between economic variables are the same in survey data and in the actual data. In other words we analyze whether the...

This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also...

This paper investigates the trade-off between timeliness and quality in nowcasting practices. This trade-off arises when the frequency of the variable to be nowcast, such as GDP, is quarterly, while that of the underlying panel data is monthly; and the latter contains both survey and...

Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and discuss theoretical explanations for heterogeneous...

We apply the boosting estimation method to investigate to what ex-tent and at what horizons macroeconomic time series have nonlinearpredictability coming from their own history. Our results indicate thatthe U.S. macroeconomic time series have more exploitable nonlinearpredictability than...

We use the gradient boosting estimation technique and the ROC curveto non-parametrically measure and exploit the maximal predictive powerof leading indicators for the future state of the business cycle. We de-velop novel procedures for finding the best performing transformationsof individual...

For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...

Inflation expectations are often found to depend on socioeconomic and demographic characteristics of households, such as age, income and education, however, the reasons for this systematic heterogeneity are not yet fully understood. Since accounting for these expectation differentials could help...

This paper compares two single-equation approaches from the recent nowcast literature: Mixed-data sampling (MIDAS) regressions and bridge equations. Both approach are used to nowcast a low-frequency variable such as quarterly GDP growth by higher-frequency business cycle indicators. Three...

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...