| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16973 |
| DP16973 Expectations Formation and Forward Information | |
| Nathan Goldstein; Yuriy Gorodnichenko | |
| 发表日期 | 2022-01-30 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We propose a model where forecasters have access to noisy signals about the future (forward information). In this setting, information varies not only across agents but also across horizons. As a result, estimated persistence of forecasts deviates from persistence of fundamentals and the ability of forecasts at shorter horizons to explain forecasts at longer horizons is limited. These properties tend to diminish as the forecast horizon increases. We document that this novel pattern is consistent with survey data for professional forecasters. We provide further evidence that time-series and cross-sectional variation in professional forecasts is driven by forward information. We propose a simple method for extracting the forward information component from survey and provide several applications of forward information. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Expectations Survey forecasts Forward information News |
| URL | https://cepr.org/publications/dp16973 |
| 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/545917 |
| 推荐引用方式 GB/T 7714 | Nathan Goldstein,Yuriy Gorodnichenko. DP16973 Expectations Formation and Forward Information. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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