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Inattentive professional forecasters

Listed author(s):
  • Andrade, Philippe
  • Le Bihan, Hervé

Using the ECB Survey of Professional Forecasters to characterize expectations at the micro-level, we emphasize two new facts: forecasters (i) fail to systematically update their forecasts and (ii) disagree even when updating. It is moreover found that forecasters have predictable forecast errors. These facts are qualitatively supportive of recent models of inattention and suggest a setup where agents imperfectly process information due to both sticky information à la Mankiw–Reis, and noisy information à la Sims. However, building and estimating such an expectation model, we find that it cannot quantitatively replicate the error and disagreement observed in the data.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304393213001190
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 60 (2013)
Issue (Month): 8 ()
Pages: 967-982

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Handle: RePEc:eee:moneco:v:60:y:2013:i:8:p:967-982
DOI: 10.1016/j.jmoneco.2013.08.005
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505566

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  1. Ricardo Reis, 2005. "Inattentive Producers," 2005 Meeting Papers 290, Society for Economic Dynamics.
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  8. Fernando Alvarez & Francesco Lippi & Luigi Paciello, 2010. "Optimal Price Setting with Observation and Menu Costs," EIEF Working Papers Series 1010, Einaudi Institute for Economics and Finance (EIEF), revised May 2010.
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