We construct measures of forecasters' subjective uncertainty at horizons from 1 to 5 years, using the European Central Bank's Survey of Professional Forecasters. The uncertainty curve is more linear than the disagreement curve. We document heterogeneity across forecasters in the level and the term structure of uncertainty, and show that the difference between long-run and short-run uncertainty is procyclical. We develop a signal extraction model that features (i) Kalman filter updating, (ii) time-varying uncertainty, and (iii) assessment of multistep ahead uncertainty. Heterogeneous patterns of uncertainty over different horizons depend on perceived persistence and variability of the signal and the noise.

中文翻译：

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不确定性的期限结构：来自调查预期的新证据

我们使用欧洲中央银行对专业预测者的调查构建了预测者在 1 到 5 年的主观不确定性的度量。不确定性曲线比不一致曲线更线性。我们记录了预测者在不确定性水平和期限结构方面的异质性，并表明长期和短期不确定性之间的差异是顺周期性的。我们开发了一个信号提取模型，该模型具有 (i) 卡尔曼滤波器更新、(ii) 时变不确定性和 (iii) 多步前进不确定性评估。不同范围内不确定性的异构模式取决于感知到的信号和噪声的持久性和可变性。