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Forecast disagreement about long-run macroeconomic relationships

Author

Listed:
  • Kuang, Pei
  • Tang, Li
  • Zhang, Renbin
  • Zhang, Tongbin
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.

Suggested Citation

  • Kuang, Pei & Tang, Li & Zhang, Renbin & Zhang, Tongbin, 2022. "Forecast disagreement about long-run macroeconomic relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 371-387.
    • Handle: RePEc:eee:jeborg:v:200:y:2022:i:c:p:371-387
    DOI: 10.1016/j.jebo.2022.06.002
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    Cited by:

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    More about this item

    Keywords

    Survey expectation; Cointegration; Disagreement;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models

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