Arbeitspapier
Sluggish forecasts
Given the influence that agents' expectations have on key macroeconomic variables, it is surprising that very few papers have tried to extrapolate agents' "true" expectations directly from the data. This paper presents one such approach, starting with the hypothesis that there is sluggishness in inflation and real GDP growth forecasts. Using individual-level data on 29 U.S. professional forecasters from the Survey of Professional Forecasters, I find that some degree of sluggishness is present in about 40% of inflation forecasts and in 60% of real GDP growth forecasts. The estimates of sluggishness are then used to recover a series of sluggishness-adjusted expectations that are more volatile and, at times, more accurate than the raw survey forecasts.
- Language
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Englisch
- Bibliographic citation
-
Series: Bank of Canada Staff Working Paper ; No. 2018-39
- Classification
-
Wirtschaft
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
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Econometric and statistical methods
Inflation and prices
- Event
-
Geistige Schöpfung
- (who)
-
Jain, Monica
- Event
-
Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2018
- DOI
-
doi:10.34989/swp-2018-39
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Jain, Monica
- Bank of Canada
Time of origin
- 2018
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