Are macroeconomic density forecasts informative?

Abstract/Summary

We consider whether survey density forecasts (such as the inflation and output growth histograms of the US Survey of Professional Forecasters) are superior to unconditional density forecasts. The unconditional 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 the aggregate forecasts of either variable, or for the majority of the individual respondents for forecasting inflation.