This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
The Curse of Irving Fisher (Professional Forecasters' Version) Author info | Abstract | Publisher info | Download info | Related research | Statistics Gregor W. Smith () (Queen's University)
James Yetman () (University of Hong Kong)
Additional information is available for the following
registered author(s):
Dynamic Euler equations restrict multivariate forecasts. Thus a range of links between macroeconomic variables can be studied by seeing whether they hold within the multivariate predictions of professional forecasters. We illustrate this novel way of testing theory by studying the links between forecasts of U.S. nominal interest rates, inflation, and real consumption growth since 1981. By using forecast data for both returns and macroeconomic fundamentals, we use the complete cross-section of forecasts, rather than the median. The Survey of Professional Forecasters yields a three-dimensional panel, across quarters, forecasters, and forecast horizons. This approach yields 14727 observations, much greater than the 107 time series observations. The resulting precision reveals a significant, negative relationship between consumption growth and interest rates.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Queen's University, Department of Economics in its series Working Papers with number
1144.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length: 30 pages
Date of creation: Nov 2007Date of revision:
Handle: RePEc:qed:wpaper:1144Contact details of provider: Postal: Kingston, Ontario, K7L 3N6 Phone: (613) 533-2250 Fax: (613) 533-6668 Email: Web page: http://www.econ.queensu.ca/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Mark Babcock).
Keywords: forecast survey asset pricing Fisher effect Other versions of this item:
Find related papers by JEL classification: E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Neely, Christopher J & Roy, Amlan & Whiteman, Charles H, 2001.
"Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 19(4), pages 395-403, October.
Gottfries, Nils & Persson, Torsten, 1988.
"Empirical Examinations of the Information Sets of Economic Agents ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 103(1), pages 251-59, February.
[Downloadable!] (restricted)
Motohiro Yogo, 2004.
"Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak ,"
The Review of Economics and Statistics ,
MIT Press, vol. 86(3), pages 797-810, 03.
[Downloadable!] (restricted)
Campbell, John Y, 1986.
"Bond and Stock Returns in a Simple Exchange Model ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 101(4), pages 785-803, November.
[Downloadable!] (restricted)
Other versions: Donald W.K. Andrews & James H. Stock, 2005.
"Inference with Weak Instruments ,"
NBER Technical Working Papers
0313, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Keane, Michael P & Runkle, David E, 1990.
"Testing the Rationality of Price Forecasts: New Evidence from Panel Data ,"
American Economic Review ,
American Economic Association, vol. 80(4), pages 714-35, September.
[Downloadable!] (restricted)
Lloyd B. Thomas Jr., 1999.
"Survey Measures of Expected U.S. Inflation ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 13(4), pages 125-144, Fall.
[Downloadable!] (restricted)
Gregor W. Smith, 2007.
"Pooling Forecasts in Linear Rational Expectations Models ,"
Working Papers
1129, Queen's University, Department of Economics.
[Downloadable!]
Pagan, Adrian, 1984.
"Econometric Issues in the Analysis of Regressions with Generated Regressors ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
[Downloadable!] (restricted)
John Y. Campbell & John Cochrane, 1999.
"Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior ,"
Journal of Political Economy ,
University of Chicago Press, vol. 107(2), pages 205-251, April.
[Downloadable!] (restricted)
Carl S Bonham & Richard H Cohen, 2000.
"Testing the Rational Expectations Hypothesis using Survey Data ,"
Working Papers
200007, University of Hawaii at Manoa, Department of Economics.
[Downloadable!]
Zarnowitz, Victor, 1985.
"Rational Expectations and Macroeconomic Forecasts ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 3(4), pages 293-311, October.
Dean Croushore, 2006.
"An evaluation of inflation forecasts from surveys using real-time data ,"
Working Papers
06-19, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Christopher D. Carroll, 2003.
"Macroeconomic Expectations Of Households And Professional Forecasters ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 118(1), pages 269-298, February.
[Downloadable!] (restricted)
Other versions:
Full
references
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by encouraging others to use our services.
This page was last updated on 2008-8-13.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .