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• W3137534708 abstract "Abstract We construct measures of forecasters' subjective uncertainty at horizons from 1 to 5 years, using the European Central Bank's Survey of Professional Forecasters. The uncertainty curve is more linear than the disagreement curve. We document heterogeneity across forecasters in the level and the term structure of uncertainty, and show that the difference between long‐run and short‐run uncertainty is procyclical. We develop a signal extraction model that features (i) Kalman filter updating, (ii) time‐varying uncertainty, and (iii) assessment of multistep ahead uncertainty. Heterogeneous patterns of uncertainty over different horizons depend on perceived persistence and variability of the signal and the noise." @default.
• W3137534708 created "2021-03-29" @default.
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• W3137534708 date "2021-03-20" @default.
• W3137534708 modified "2023-10-16" @default.
• W3137534708 title "The Term Structure of Uncertainty: New Evidence from Survey Expectations" @default.
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• W3137534708 doi "https://doi.org/10.1111/jmcb.12811" @default.
• W3137534708 hasPublicationYear "2021" @default.
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