Time-varying information rigidities and fluctuations in professional forecasters' disagreement

Joonyoung Hur

Economic Modelling, 2018, vol. 75, issue C, 117-131

Abstract: Using survey data of US professional forecasters, this paper assesses how forecasters' inattentiveness evolves over time and the implications for fluctuations in dispersion among forecasts. To this end, I employ a time-varying structural VAR model consisting of dispersion among forecasters and the absolute value of their mean forecast revision. The results show that the level of information inattentiveness about inflation increases monotonically from the early 1980s, while a procyclical information stickiness is identified for GDP growth forecasts. I find, however, that countercyclicality in the professional forecasters' forecast revisions, rather than information stickiness, is the main driver of countercyclical fluctuations in disagreement.

Keywords: Imperfect information; Dispersion in forecasts; Forecast revision; Time varying coefficients (search for similar items in EconPapers)
JEL-codes: C15 C22 D84 E37 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999318302037
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:75:y:2018:i:c:p:117-131

DOI: 10.1016/j.econmod.2018.06.009

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().