) to predict uncertainty (i.e., the conditional variance of future macroeconomic quantities). Our results show that cross …

standard deviation of individual forecasts around the median Consensus Forecast as proxy for forecast uncertainty. Our sample … react significantly to inflation forecast uncertainty by reducing their policy rates in times of higher inflation … forecast uncertainty. We conclude with some implications for optimal monetary policy rules and central bank watchers. …

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty. …

The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of … major drawback that it is constant over time and hence does not convey any information on the specific source of uncertainty … the uncertainty around the model’s parameters and the structural errors term to construct asymmetric confidence bands …