What Can Survey Forecasts Tell Us about Information Rigidities?

A lot. We derive common and conflicting predictions from models in which agents face information constraints and then assess their validity using surveys of consumers, firms, central bankers, and professional forecasters. We document that mean forecasts fail to completely adjust on impact to shocks,...

Full description

Saved in:
Bibliographic Details
Published in:The Journal of political economy 2012-02, Vol.120 (1), p.116-159
Main Authors: Coibion, Olivier, Gorodnichenko, Yuriy
Format: Article
Language:English
Subjects:
Consumer surveys
Economic forecasts
Economic information
Economic shock
Economic theory
Error
Forecasting models
Forecasting standards
Inflation rates
Inflation shocks
Information modeling
Macroeconomics
Modeling
Political economy
Price rigidities
Statistical forecasts
Studies
Surveying errors
Time series forecasting
Validity
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:A lot. We derive common and conflicting predictions from models in which agents face information constraints and then assess their validity using surveys of consumers, firms, central bankers, and professional forecasters. We document that mean forecasts fail to completely adjust on impact to shocks, leading to statistically and economically significant deviations from the null of full information. The dynamics of forecast errors after shocks are consistent with the predictions of models with information rigidities. The conditional responses of forecast errors and disagreement among agents can also be used to differentiate between some of the most prominent models of information rigidities.
ISSN:0022-3808
1537-534X
DOI:10.1086/665662