Title of article
Why doforecastersdisagree?Lessonsfromthetermstructureof cross-sectionaldispersion
Author/Authors
Andrew J. Patton، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
18
From page
803
To page
820
Abstract
Key sourcesofdisagreementamongeconomicforecastersareidentifiedbyusingdata
on cross-sectionaldispersioninforecasters’long-andshort-runpredictionsof
macroeconomicvariables.Dispersionamongforecastersishighestatlonghorizons
whereprivateinformationisoflimitedvalueandloweratshortforecasthorizons.
Moreover,differencesinviewspersistthroughtime.Suchdifferencesinopinioncannot
be explainedbydifferencesininformationsets;ourresultsindicatetheystemfrom
heterogeneityinpriorsormodels.Differencesinopinionmovecountercyclically,with
heterogeneitybeingstrongestduringrecessionswhereforecastersappeartoplace
greaterweightontheirpriorbeliefs
Journal title
Journal of Monetary Economics
Serial Year
2010
Journal title
Journal of Monetary Economics
Record number
846430
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