Evidence on Retrieved Context: How History Matters

William Goetzmann, Akiko Watanabe and Masahiro Watanabe

No 29849, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper tests the retrieved context model of Wachter and Kahana (2019) using a long-term panel of economic forecasts by participants in the Livingston Survey. Events in historical time contribute additional explanatory power to a relative time series model. Historical precedents for current macroeconomic conditions appear to be more relevant for extreme quantile forecasts. The results are consistent with the use of the retrieved context mechanism for formulating expectations about asset prices. They also suggest that historical events, not just lagged variables in relative time, matter in economic forecasting.

JEL-codes: G02 G17 (search for similar items in EconPapers)
Date: 2022-03
New Economics Papers: this item is included in nep-his
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