| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6537 |
| DP6537 Targeting Labour Market Programmes - Results from A Randomised Experiment | |
| Michael Lechner; Markus Frölich; Stefanie Behncke | |
| 发表日期 | 2007-10-19 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We develop a theoretical framework for understanding how agents form expectations about economic variables with a partially predictable component. Our model incorporates the effect of measurement errors and heterogeneity in individual forecasters' prior beliefs and their information signals and also accounts for agents' learning in real time about past, current and future values of economic variables. We use the model to develop insights into the term structure of forecast errors, and test its implications on a data set comprising survey forecasts of annual GDP growth and inflation with horizons ranging from 1 to 24 months. The model is found to closely match the term structure of forecast errors for consensus beliefs and is able to replicate the cross-sectional dispersion in forecasts of GDP growth but not for inflation - the latter appearing to be too high in the data at short horizons. Our analysis also suggests that agents systematically underestimated the persistent component of GDP growth but overestimated it for inflation during most of the 1990s. |
| 主题 | Financial Economics |
| 关键词 | Term structure of forecasts Real time learning Survey forecasts |
| URL | https://cepr.org/publications/dp6537 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535376 |
| 推荐引用方式 GB/T 7714 | Michael Lechner,Markus Frölich,Stefanie Behncke. DP6537 Targeting Labour Market Programmes - Results from A Randomised Experiment. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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