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Time-varying information rigidities and fluctuations in professional forecasters' disagreement

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  • Hur, Joonyoung

Abstract

Using survey data of US professional forecasters, this paper assesses how forecasters' inattentiveness evolves over time and the implications for fluctuations in dispersion among forecasts. To this end, I employ a time-varying structural VAR model consisting of dispersion among forecasters and the absolute value of their mean forecast revision. The results show that the level of information inattentiveness about inflation increases monotonically from the early 1980s, while a procyclical information stickiness is identified for GDP growth forecasts. I find, however, that countercyclicality in the professional forecasters' forecast revisions, rather than information stickiness, is the main driver of countercyclical fluctuations in disagreement.

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  • Hur, Joonyoung, 2018. "Time-varying information rigidities and fluctuations in professional forecasters' disagreement," Economic Modelling, Elsevier, vol. 75(C), pages 117-131.
    • Handle: RePEc:eee:ecmode:v:75:y:2018:i:c:p:117-131
    DOI: 10.1016/j.econmod.2018.06.009
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    Cited by:

    1. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    2. Yutaka Kurihara & Akio Fukushima, 2019. "AR Model or Machine Learning for Forecasting GDP and Consumer Price for G7 Countries," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 1-6, May.

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    More about this item

    Keywords

    Imperfect information; Dispersion in forecasts; Forecast revision; Time varying coefficients;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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