Firms’ subjective uncertainty and forecast errors: survey evidence from Japan
Firms’ subjective uncertainty and forecast errors: survey evidence from Japan
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企业的主观不确定性和预测误差：来自日本的调查证据
DOI：
10.1080/13504851.2021.1971611
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发表时间：
2021
影响因子：
1.6
通讯作者：
Masayuki
中科院分区：
文献类型：
--
作者：
Morikawa;Masayuki
本研究利用与日本上市公司财务报表相关的原始调查数据，对企业的前主观不确定性进行了事后评估。销售额和就业增长方面的前预测不确定性是根据企业对其点预测的主观置信区间得出的。前后预测误差是指已实现数字与点预测的偏差。结果表明，主观不确定性与已实现的绝对预测误差有显著的正相关关系。与宏观经济变量相比，企业自身业务预测的主观置信区间作为不确定性的度量是可靠的。这些研究结果表明，企业调查所获得的商业前景的主观概率分布包含了在微观层面衡量经济不确定性的宝贵信息。
Using original survey data linked with the financial statements of Japanese listed firms, this study presents anex postevaluation of firms’ex antesubjective uncertainty.Ex anteforecast uncertainty in terms of sales and employment growth is derived from firms’ subjective confidence interval around their point forecasts.Ex postforecast error is calculated as the deviation of the realized figures from the point forecasts. The results indicate thatex antesubjective uncertainty has a significant positive association with realized absolute forecast error. The subjective confidence interval for a firm’s own business forecast, in comparison with that for macroeconomic variables, is reliable as a measure of uncertainty. These findings indicate that the subjective probability distribution of business outlook captured by firm surveys contains valuable information for measuring economic uncertainty at the micro-level.