IDEAS home Printed from https://ideas.repec.org/a/cup/macdyn/v21y2017i01p130-159_00.html
   My bibliography  Save this article

Model-Based Vs. Professional Forecasts: Implications For Models With Nominal Rigidities

Author

Listed:
  • Valle e Azevedo, João
  • Jalles, João Tovar

Abstract

We compare model forecast error statistics with forecast error statistics of professional forecasts. We look at a standard sticky-prices–wages model, concluding that it delivers too strong a theoretical forecastability of the variables under scrutiny, at odds with the data (professional forecasts). We argue that the lack of compatibility between the model and professional forecasts results from trying to fit inflation (which is probably nonstationary) to a model that assumes inflation is stationary. A modified version of the model, one with a varying inflation target, delivers a better fit in terms of forecastability.

Suggested Citation

  • Valle e Azevedo, João & Jalles, João Tovar, 2017. "Model-Based Vs. Professional Forecasts: Implications For Models With Nominal Rigidities," Macroeconomic Dynamics, Cambridge University Press, vol. 21(1), pages 130-159, January.
    • Handle: RePEc:cup:macdyn:v:21:y:2017:i:01:p:130-159_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1365100515000425/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. João Valle e Azevedo & João Ritto & Pedro Teles, 2022. "The Neutrality Of Nominal Rates: How Long Is The Long Run?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(4), pages 1745-1777, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:macdyn:v:21:y:2017:i:01:p:130-159_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/mdy .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.