Economics at your fingertips  

The Curse Of Irving Fisher (professional Forecasters' Version)

James Yetman and Gregor Smith

No 1144, Working Paper from Economics Department, Queen's University

Abstract: Dynamic Euler equations restrict multivariate forecasts.Thus a range of links between macroeconomic variables can bestudied by seeing whether they hold within the multivariatepredictions of professional forecasters. We illustrate this novelway of testing theory by studying the links between forecasts ofU.S. nominal interest rates, inflation, and real consumptiongrowth since 1981. By using forecast data for both returnsand macroeconomic fundamentals, we use the complete cross-sectionof forecasts, rather than the median. The Survey ofProfessional Forecasters yields a three-dimensional panel, acrossquarters, forecasters, and forecast horizons. This approach yields14727 observations, much greater than the 107 time seriesobservations. The resulting precision reveals a significant,negative relationship between consumption growth and interestrates.

Keywords: forecast survey; asset pricing; Fisher effect (search for similar items in EconPapers)
JEL-codes: E17 E21 E43 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2007-11
New Economics Papers: this item is included in nep-ecm, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link) First version 2007 (application/pdf)

Related works:
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:

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().

Page updated 2024-03-31
Handle: RePEc:qed:wpaper:1144