Business expectations data

Firms’ perceived uncertainty

Bachmann and al. use a new survey module in the ifo Business Tendency Survey to provide evidence on firms’ perceived uncertainty about future sales growth. They find that uncertainty reflects change: firms report more subjective uncertainty after either high or low growth realizations. In addition, they argue that since a firm’s size does have an impact on its perception of uncertainty simple models of firms with homogeneous beliefs and identical objective functions cannot adequately capture firms’ behavior under uncertainty.

Uncertainty and Change: Survey Evidence of Firms’ Subjective Beliefs
Authors: Rüdiger Bachmann, Kai Carstensen, Stefan Lautenbacher, Martin Schneider
From: University of Notre Dame, University of Kiel, LMU Munich, Stanford University

New evidence from survey expectations

Binder and al. use data from the European Central Bank’s Survey of Professional Forecasters to construct measures of individual forecasters’ subjective uncertainty at horizons ranging from one to five years. They find that the uncertainty curve is more linear than the disagreement curve: uncertainty at the one-year and two-year horizons, unlike disagreement, can almost perfectly predict uncertainty at the five-year horizon.

The Term Structure of Uncertainty: New Evidence from Survey Expectations
Authors: Carola Binder, Tucker S. McElroy, Xuguang S. Sheng
From: Haverford College, U.S. Census Bureau, American University

Firms’ forecasting errors and the macroeconomy

This paper incorporates forecasts into an otherwise standard neoclassical model of investment. Our model allows for managerial private information, distortion in the reports of forecasts as well as distorted forecasts due to non-rational expectations. We first document significant bias in managerial forecasts in guidance data: managerial forecast errors are persistent in a statistically significant way. This predictability is consistent with underreaction to new information by managers. However, when nested into a model of production, the estimated forecasting bias leads to negligible efficiency losses, both in partial and general equilibrium.

Do Managerial Forecasting Biases Matter?
Authors: Yueran Ma, David Sraer, David Thesmar
From: University of Chicago, UC Berkeley, MIT