G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16973
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
URLhttps://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.
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