Uncertainty and Disagreement in Economic Prediction: The Bank of England Survey of External Forecasters*

Authors


  • *

     We are grateful to Colin Ellis, Debbie Lockhart and Rebecca Capuano (Bank of England) for assembling and helping to clean the survey dataset, to Paul Soderlind for providing extended data from one of his articles and to Roy Batchelor, Jagjit Chadha, Michael Clements, Kajal Lahiri, John Whitley and this Journal's editor and referees for helpful comments. Readers wishing to gain access to the data should write to the Publications Editor, Inflation Report and Bulletin Division, Bank of England, Threadneedle Street, London EC2R 8AH.

Abstract

This article introduces a new source of survey data, namely the Bank of England Survey of External Forecasters. The survey collects point and density forecasts of inflation and GDP growth and, hence, offers the opportunity of constructing direct measures of uncertainty. We present a simple statistical framework in which to define and interrelate measures of uncertainty and disagreement. The resulting measures are compared with other direct measures of uncertainty, nationally and internationally. A significant, sustained reduction in inflation uncertainty followed the 1997 granting of operational independence to the Bank of England to pursue a monetary policy of inflation targeting.

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