Forecast disagreement about long-run macroeconomic relationships

Pei Kuang, Li Tang, Renbin Zhang and Tongbin Zhang

Journal of Economic Behavior & Organization, 2022, vol. 200, issue C, 371-387

Abstract: Using survey forecast data, this paper studies whether professional forecasters utilize long-run cointegration relationships among macroeconomic variables to forecast the future, as postulated in stochastic growth models. Significant heterogeneity exists among forecasters. The majority of the forecasters do not use these long-run relationships. The results are robust across different groups, to addressing the multiple testing problem and to allowing for structural break.

Keywords: Survey expectation; Cointegration; Disagreement (search for similar items in EconPapers)
JEL-codes: D84 G22 O41 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:200:y:2022:i:c:p:371-387

DOI: 10.1016/j.jebo.2022.06.002

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