Inattentive professional forecasters
Philippe Andrade () and
Hervé Le Bihan ()
Working papers from Banque de France
We use the ECB Survey of Professional Forecasters to characterize the dynamics of expectations at the micro level. We find that forecasters (i) have predictable forecast errors; (ii) disagree; (iii) fail to systematically update their forecasts in the wake of new information; (iv) disagree even when updating; and (v) differ in their frequency of updating and forecast performances. We argue that these micro data facts are qualitatively in line with recent models in which expectations are formed by inattentive agents. However building and estimating an expectation model that features two types of inattention, namely sticky information à la Mankiw-Reis and noisy information à la Sims, we cannot quantitatively generate the error and disagreement that are observed in the SPF data. The rejection is mainly due to the fact that professionals relatively agree on very sluggish forecasts.
Keywords: imperfect information; inattention; forecast errors; disagreement; business cycle. (search for similar items in EconPapers)
JEL-codes: D84 E3 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec and nep-for
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Journal Article: Inattentive professional forecasters (2013)
Working Paper: Inattentive Professional Forecasters (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:307
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