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Temporal Consistency of Forecasts and Data Releases

Author

Listed:
  • Constantin Bürgi
  • Julio L. Ortiz

Abstract

We provide key insights on expectation formation based on the Bloomberg eco- nomic survey: around two thirds of professional forecasters provide GDP forecasts that are temporally consistent, meaning that quarterly forecasts add up to the annual. Temporally consistent forecasts are not more accurate than the inconsistent ones, but inconsistent ones might drive estimates of information frictions in some cases. For the overwhelming majority of consistent forecasts, annual GDP predictions almost imme- diately reflect the monthly GDP releases. These findings suggest that most forecasters make at least minor forecast updates after each data release. Indeed, the inattention rate is found to be between 3% and 6% at the quarterly frequency.

Suggested Citation

  • Constantin Bürgi & Julio L. Ortiz, 2022. "Temporal Consistency of Forecasts and Data Releases," Working Papers 202207, School of Economics, University College Dublin.
    • Handle: RePEc:ucn:wpaper:202207
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    File URL: http://hdl.handle.net/10197/12780
    File Function: First version, 2022
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    Keywords

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    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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