Are Macroeconomic Density Forecasts Informative?

We consider whether survey density forecasts (such as the in?ation and output growth histograms of the US Survey of Professional Forecasters) are superior to unconditional density forecasts. The un-conditional forecasts assume that the average level of uncertainty experienced in the past will prevail in the future, whereas the SPF projections ought to be adapted to current conditions and the outlook at each forecast origin. The SPF forecasts might be expected to outperform the unconditional densities at the shortest horizons, but this does not transpire to be the case, for either the aggregate or individual respondents?forecasts.

Keywords: probability distribution forecasts, aggregation, Kullback-Leibler information criterion.