Forecast bias in two dimensions
Economists have tried to uncover stylized facts about people’s expectations, testing whether such expectations are rational. Tests in the early 1980s suggested that expectations were biased, and some economists took irrational expectations as a stylized fact. But, over time, the results of tests that led to such a conclusion were reversed. In this paper, we examine how tests for bias in expectations, measured using the Survey of Professional Forecasters, have changed over time. In addition, key macroeconomic variables that are the subject of forecasts are revised over time, causing problems in determining how to measure the accuracy of forecasts. The results of bias tests are found to depend on the subsample in question, as well as what concept is used to measure the actual value of a macroeconomic variable. Thus, our analysis takes place in two dimensions: across subsamples and with alternative measures of realized values of variables.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.philadelphiafed.org/
More information through EDIRC
|Order Information:|| Web: http://www.phil.frb.org/econ/wps/index.html Email: |
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.:
- Bonham, Carl S & Dacy, Douglas C, 1991. "In Search of a "Strictly Rational" Forecast," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 245-53, May.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010.
2010-04, Banco de México.
- Andrew Ang & Geert Bekaert & Min Wei, 2005.
"Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?,"
NBER Working Papers
11538, National Bureau of Economic Research, Inc.
- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
- Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
- Hafer, R W & Hein, Scott E, 1985.
"On the Accuracy of Time-Series, Interest Rate, and Survey Forecasts of Inflation,"
The Journal of Business,
University of Chicago Press, vol. 58(4), pages 377-98, October.
- R. W. Hafer & Scott E. Hein, 1984. "On the accuracy of time series, interest rate and survey forecasts of inflation," Working Papers 1984-022, Federal Reserve Bank of St. Louis.
- 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.
- Croushore, Dean & Stark, Tom, 2001.
"A real-time data set for macroeconomists,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 111-130, November.
When requesting a correction, please mention this item's handle: RePEc:fip:fedpwp:12-9. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beth Paul)
If references are entirely missing, you can add them using this form.