Noisy Information and Fundamental Disagreement

Stefano Eusepi, Richard Crump, Emanuel Moench and Philippe Andrade
Additional contact information
Stefano Eusepi: Federal Reserve Bank of New York

No 797, 2014 Meeting Papers from Society for Economic Dynamics

Abstract: We study the term structure of disagreement of professional forecasters for key macroeconomic variables. We document a novel set of facts: (i) forecasters disagree at all horizons including the very long run; (ii) the shape of the term structure of disagreement differs markedly across variables the term structure is downward sloping for real output growth, relatively at for CPI inflation, and upward sloping for the federal funds rate; (iii) disagreement is time varying at all horizons including the very long run. We suggest a model with noisy information and shifting long-run beliefs which is consistent with these stylized facts. Notably, our model does not rely on the heterogeneity of prior beliefs, bounded rationality or differences in the precision of signals across agents.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2014/paper_797.pdf (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: https://EconPapers.repec.org/RePEc:red:sed014:797

Access Statistics for this paper

More papers in 2014 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().