Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion
成果类型：
Article
署名作者：
Patton, Andrew J.; Timmermann, Allan
署名单位：
Duke University; University of California System; University of California San Diego
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2010.07.001
发表日期：
2010
页码：
803-820
关键词：
摘要：
Key sources of disagreement among economic forecasters are identified by using data on cross-sectional dispersion in forecasters' long- and short-run predictions of macroeconomic variables. Dispersion among forecasters is highest at long horizons where private information is of limited value and lower at short forecast horizons. Moreover, differences in views persist through time. Such differences in opinion cannot be explained by differences in information sets; our results indicate they stem from heterogeneity in priors or models. Differences in opinion move countercyclically, with heterogeneity being strongest during recessions where forecasters appear to place greater weight on their prior beliefs. (C) 2010 Elsevier B.V. All rights reserved.
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