Information rigidities in survey data: Evidence from dispersions in forecasts and forecast revisions

Joonyoung Hur and Insu Kim

Economics Letters, 2016, vol. 142, issue C, 10-14

Abstract: Predictable forecast errors in survey data documented in the existing literature suggest a deviation from the rational expectations hypothesis and are in favor of imperfect information models such as sticky and noisy information models. This article assesses the validity of the imperfect information models by establishing a linkage between dispersions in survey forecasts and survey forecast revisions. We find that the dynamics of dispersion in survey forecasts are consistent with the prediction of sticky information models, but at odds with that of conventional noisy information models as well as full information rational expectations models, both of which assume agents’ continuous updating of their information sets.

Keywords: Sticky information; Noisy information; Dispersion in forecasts; Forecast revision (search for similar items in EconPapers)
JEL-codes: D84 E30 E37 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:142:y:2016:i:c:p:10-14

DOI: 10.1016/j.econlet.2016.02.021

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