Series: IMF Working Papers
Author(s): Ezgi Ozturk , and Xuguang Simon Sheng
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 30 October 2017
Keywords: Capital Asset Pricing Model; Common Uncertainty; Consensus Forecasts; Idiosyncratic Uncertainty; Global Uncertainty; Survey Forecast, Capital Asset Pricing Model, Common Uncertainty, Consensus Forecasts, Idiosyncratic Uncertainty, Global Uncertainty, Survey Forecast
Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Foreca...