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Essays on Macroeconomics Forecasting and Economic Policy Uncertainty




Boskabadi, Elahe

Type of Degree

PhD Dissertation



Restriction Status


Restriction Type


Date Available



First paper analyzes the properties of forecast bias in the Survey of Professional Forecasters in relation to economic policy uncertainty. Employing the quarterly forecast bias of 14 key macroeconomic variables and 12 measures of policy uncertainty from 1985 to 2020, I demonstrate that most real activity variables have significant negative responses to economic policy uncertainty. On the other hand, there is a substantial degree of sluggishness in the corresponding forecasts, generating long-lasting forecast bias. In other words, my results show that inattentive forecasters cause SPF forecast bias using both static and dynamic frameworks. In chapter two, we examine how the historical economic policy uncertainty index changes impact the private sector forecast for six macroeconomic variables in the U.S. during 1970-2014. We utilize univariate and multivariate structural break tests to examine if the structural breaks have occurred and, if so, when are the break dates. Our results show two breaks during the sample period; the first was during the 1980s, and the second was in late 2007. Using impulse responses to the EPU shock, we find abrupt shifts of the macro variable responses over time. In the third part, we study the effects of new information on federal government spending on private-sector forecasters in the U.S. To do so, we use survey of professional forecasters as a source of macroeconomic forecasts made by experts and study the time-varying relationship between government spending growth forecasts and four key macroeconomic variables’ forecasts. We find that during the post-Volcker era, unobservable sentiment of fiscal policy does not generate positive effect on SPF forecasts and forecasters are mainly pessimistic, but with accommodative monetary policies after 2000, their results are more optimistic.