What's behind the survey values?: An analysis of individual forecasters' behaviour

This paper studies the internal consistency of 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 we also study the Consensus Economics survey and Survey of Professional Forecasts for the US. Forecast uncertainty is explored using two alternative measures, the conventional standard deviation of individual point forecasts and the mean uncertainty based on subjective probability distributions of survey respondents. Our analysis indicates that individual forecasters’ price and real GDP expectations are positively related, but that forecasters deviate systematically from each other. We also find clear evidence that individual forecasters form expectations according to the hybrid specification of the New Keynesian Phillips curve. On a micro level, inflation uncertainty seems to be closely related to output uncertainty. However, the relationship between alternative measures of uncertainty is relatively weak.