Measuring macroeconomic uncertainty during the euro's lifetime

Title page

Contents

1. Introduction 2

2. Changes over time in forecasts from the same institution 4

3. Forecasting errors by the three institutions 6

4. Inter-institutional forecast differences 7

5. Dispersion of forecasts of individual professional forecasters 8

6. An overall reading of the evidence about uncertainty 9

7. Which component prevails in the stagflationary shock from the war in Ukraine? 9

8. Which macroeconomic pattern is expected to prevail in the medium term? 10

9. Conclusions 12

References 13

Appendix: A measure of macroeconomic uncertainty 14

Table 1. Medium term scenarios, growth and inflation for the euro area 11

Figure 1. Changes in ECB projections over time, inflation and GDP growth (percentage points difference) 4

Figure 2. Changes in the ECB, IMF and SPF forecasts averaged over the different time horizons (inflation and GDP growth, percentage points difference) 5

Figure 3. Yearly average over the different time horizons of forecasting errors (inflation and GDP growth, percentage points difference) 6

Figure 4. Yearly average of forecast differences between the ECB and the IMF/SPF (inflation and GDP growth, percentage points difference) 7

Figure 5. Dispersion of inflation and GDP growth forecasts among individual professional forecasters (inflation and GDP growth, percentage points difference) 8

Figure 6. Deviations between the three institutions' forecasts in 2021 for 2022 (Ukrainian war) and 2008 for 2009 (GFC), percentage points difference 9

Figure 7. ECB different scenarios (inflation and GDP growth, percentage points difference) 12