Forecast disagreement about long-run macroeconomic relationships

Article

Kuang, P., Tang, L., Zhang, R. and Zhang, T. 2022. Forecast disagreement about long-run macroeconomic relationships. Journal of Economic Behavior and Organization. 200, pp. 371-387. https://doi.org/10.1016/j.jebo.2022.06.002
TypeArticle
TitleForecast disagreement about long-run macroeconomic relationships
AuthorsKuang, P., Tang, L., Zhang, R. and Zhang, T.
Abstract

Using survey forecast data, this paper studies whether professional forecasters utilize long-run cointegration relationships among macroeconomic variables to forecast the future, as postulated in stochastic growth models. Significant heterogeneity exists among forecasters. The majority of the forecasters do not use these long-run relationships. The results are robust across different groups, to addressing the multiple testing problem and to allowing for structural break.

KeywordsSurvey expectation; Cointegration; Disagreement
PublisherElsevier
JournalJournal of Economic Behavior and Organization
ISSN0167-2681
Electronic1879-1751
Publication dates
Online24 Jun 2022
Print31 Aug 2022
Publication process dates
Deposited07 Jun 2022
Submitted18 Nov 2020
Accepted06 Jun 2022
Output statusPublished
Accepted author manuscript
License
Copyright Statement

© 2022. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/

Digital Object Identifier (DOI)https://doi.org/10.1016/j.jebo.2022.06.002
Web of Science identifierWOS:000822992600002
LanguageEnglish
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License: CC BY-NC-ND 4.0

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