eprintid: 17424
rev_number: 23
eprint_status: archive
userid: 2744
dir: disk0/00/01/74/24
datestamp: 2014-09-19 11:10:16
lastmod: 2016-01-20 00:56:20
status_changed: 2014-09-19 11:10:16
type: workingPaper
metadata_visibility: show
creators_name: Dovern, Jonas
title: A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data
subjects: ddc-330
divisions: i-181000
keywords: Macroeconomic expectations, forecasts, noisy information, survey data, disagreement
abstract: This paper documents multivariate forecast disagreement among professional forecasters of the Euro area economy and discusses implications for models of heterogeneous expectation formation. Disagreement varies over time and is strongly counter-cyclical. Disagreement is positively correlated with general (economic) uncertainty. Aggregate supply shocks drive disagreement about the long-run state of the economy while aggregate demand shocks have an impact on the level of disagreement about the short-run outlook for the economy. Forecasters disagree about the structure of the economy and the degree to which individual forecasters disagree with the average forecast tends to persist over time. This suggests that models of heterogeneous expectation formation, which are currently not able to generate those last two features, need to be modified. Introducing learning mechanisms and heterogeneous signal-to-noise ratios could reconcile the benchmark model for disagreement with the observed facts.
date: 2014-09
id_scheme: DOI
id_number: 10.11588/heidok.00017424
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0571
ppn_swb: 1659229529
own_urn: urn:nbn:de:bsz:16-heidok-174244
language: eng
bibsort: DOVERNJONAAMULTIVARI201409
full_text_status: public
series: Discussion Paper Series, University of Heidelberg, Department of Economics
volume: 0571
place_of_pub: Heidelberg
pages: 32
citation:   Dovern, Jonas  (2014) A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/17424/1/Dovern_2014_dp571.pdf