What Can Survey Forecasts Tell Us About Informational Rigidities?
Olivier Coibion and
Yuriy Gorodnichenko
No 14586, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
This paper uses three different surveys of economic forecasts to assess both the support for and the properties of informational rigidities faced by agents. Specifically, we track the impulse responses of mean forecast errors and disagreement among agents after exogenous structural shocks. Our key contribution is to document that in response to structural shocks, mean forecasts fail to completely adjust on impact, leading to statistically and economically significant deviations from the null of full information: the half life of forecast errors is roughly between 6 months and a year. Importantly, the dynamic process followed by forecast errors following structural shocks is consistent with the predictions of models of informational rigidities. We interpret this finding as providing support for the recent expansion of research into models of informational rigidities. In addition, we document several stylized facts about the conditional responses of forecast errors and disagreement among agents that can be used to differentiate between some of the models of informational rigidities recently proposed.
JEL-codes: D84 E3 E4 E5 (search for similar items in EconPapers)
Date: 2008-12
New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
Note: EFG ME
References: Add references at CitEc
Citations: View citations in EconPapers (35)
Published as Olivier Coibion & Yuriy Gorodnichenko, 2012. "What Can Survey Forecasts Tell Us about Information Rigidities?," Journal of Political Economy, University of Chicago Press, vol. 120(1), pages 116 - 159.
Downloads: (external link)
http://www.nber.org/papers/w14586.pdf (application/pdf)
Related works:
Journal Article: What Can Survey Forecasts Tell Us about Information Rigidities? (2012)
Working Paper: What can survey forecasts tell us about informational rigidities? (2010)
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:nbr:nberwo:14586
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w14586
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by (wpc@nber.org).