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A multivariate analysis of forecast disagreement: Confronting models of disagreement with survey data |
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| Affiliation: | 1. Department of Finance, National Central University, Taiwan;2. Booth School of Business, University of Chicago, USA;1. Johns Hopkins University, Department of Economics, 440 Mergenthaler Hall, 3400 N. Charles St., Baltimore, MD 21218, USA;2. International Monetary Fund, Fiscal Affairs Department, 700 19th Street NW, Washington DC, 20431, USA;3. International Monetary Fund, Research Department, 700 19th Street NW, Washington DC, 20431, USA;1. Department of Economics, Purdue University, Krannert Building, 425 W. State Street, West Lafayette, IN 47907, United States;2. Division of Social Science, New York University Abu Dhabi, PO Box 129188, Abu Dhabi, United Arab Emirates;1. Norges Bank Research, Bankplassen 2, 0107, Oslo, Norway;2. Vrije Universiteit Amsterdam and Tinbergen Institute, De Boelelaan 1105, 1081HV, Amsterdam, the Netherlands |
| Abstract: | This paper documents multivariate forecast disagreement among professional forecasters and discusses implications for models of heterogeneous expectation formation. Disagreement varies over time and is positively correlated with general (economic) uncertainty. The degree to which individual forecasters disagree with the average forecast tends to persist over time. Models of heterogeneous expectation formation can be modified by introducing heterogeneous signal-to-noise ratios to match this feature. Furthermore, disagreement about correlations of different macroeconomic variables is high on average. In general, multivariate forecast data can be used more effectively than it has been to estimate models with heterogeneous expectations and to test the mechanisms used to generate disagreement in these models. |
| Keywords: | Macroeconomic expectation Forecast Imperfect information Survey data Disagreement |
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