Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro-Area SPF

We apply methods to evaluate the risk assessments collected as part of the ECB Survey of Professional Forecasters (SPF). Our approach focuses on direction-of-change predictions as well as the prediction of more specific high and low macroeconomic outcomes located in the upper and lower regions of the predictive densities. For inflation and GDP growth, we find such surveyed densities are informative about future direction of change. Regarding high and low outcome events, the surveys are most informative about GDP growth outcomes and at short horizons. The upper and lower regions of the predictive densities for inflation appear less informative.