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Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters

Author

Listed:
  • Mitchell, Karlyn
  • Pearce, Douglas
Abstract
We provide direct evidence on the sticky information model of Mankiw and Reis (2002) by examining how frequently individual professional forecasters revise their forecasts. We draw interest rate and unemployment rate forecasts from the monthly Wall Street Journal surveys conducted between 2003 and 2013. Consistent with the sticky information model we find that forecasters frequently leave their forecasts unrevised but find evidence that revision frequency increases following larger changes in the information set. We also find revision frequencies became more sensitive to new information after the 2008 financial crisis but only weak evidence that frequent revisers forecast more accurately.

Suggested Citation

  • Mitchell, Karlyn & Pearce, Douglas, 2015. "Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters," MPRA Paper 66172, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:66172
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    References listed on IDEAS

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    3. N. Gregory Mankiw & Ricardo Reis, 2002. "Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(4), pages 1295-1328.
    4. N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, 2004. "Disagreement about Inflation Expectations," NBER Chapters, in: NBER Macroeconomics Annual 2003, Volume 18, pages 209-270, National Bureau of Economic Research, Inc.
    5. Sebastiano Manzan, 2011. "Differential Interpretation in the Survey of Professional Forecasters," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 993-1017, August.
    6. Mitchell, Karlyn & Pearce, Douglas K., 2007. "Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal's panel of economists," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 840-854, December.
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    More about this item

    Keywords

    Expectations; Sticky Information; Survey Forecasts;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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