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
Type | Article |
---|---|
Title | Forecast disagreement about long-run macroeconomic relationships |
Authors | Kuang, 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. |
Keywords | Survey expectation; Cointegration; Disagreement |
Publisher | Elsevier |
Journal | Journal of Economic Behavior and Organization |
ISSN | 0167-2681 |
Electronic | 1879-1751 |
Publication dates | |
Online | 24 Jun 2022 |
31 Aug 2022 | |
Publication process dates | |
Deposited | 07 Jun 2022 |
Submitted | 18 Nov 2020 |
Accepted | 06 Jun 2022 |
Output status | Published |
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 identifier | WOS:000822992600002 |
Language | English |
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