Fundamental disagreement

Philippe Andrade, Richard Crump, Stefano Eusepi and Emanuel Moench

Journal of Monetary Economics, 2016, vol. 83, issue C, 106-128

Abstract: We document a novel set of facts about disagreement among professional forecasters: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time varying at all horizons. We propose a generalized model of imperfect information that can jointly explain these facts. We further use the term structure of disagreement to show that the monetary policy rule perceived by professional forecasters features a high degree of interest-rate smoothing and time variation in the intercept.

Keywords: Expectations; Survey forecasts; Imperfect information; Term structure of disagreement (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (73)

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Related works:
Working Paper: Fundamental disagreement (2014)
Working Paper: Fundamental disagreement (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:83:y:2016:i:c:p:106-128

DOI: 10.1016/j.jmoneco.2016.08.007

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