Fundamental disagreement

• 成果类型: Article
• 署名作者: Andrade, Philippe; Crump, Richard K.; Eusepi, Stefano; Moench, Emanuel
• 署名单位: European Central Bank; Bank of France; Federal Reserve System - USA; Federal Reserve Bank - New York; Deutsche Bundesbank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.08.007
• 发表日期: 2016
• 页码: 106-128
• 关键词: expectations; Survey forecasts; imperfect information; Term structure of disagreement

摘要

We document a novel set of facts about disagreement among professional forecasters: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time varying at all horizons. We propose a generalized model of imperfect information that can jointly explain these facts. We further use the term structure of disagreement to show that the monetary policy rule perceived by professional forecasters features a high degree of interest-rate smoothing and time variation in the intercept. (C) 2016 Elsevier B.V. All rights reserved.