Professional Forecasters' Views of Permanent and Transitory Shocks to GDP

• 成果类型: Article
• 署名作者: Krane, Spencer D.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.3.1.184
• 发表日期: 2011
• 页码: 184-211
• 关键词: time-series; components

摘要

This paper examines how the professional forecasters comprising the Blue Chip Economic Consensus view shocks to GDP. I use an unobserved components model of the forecast revisions to identify forecasters' perceptions of permanent and transitory shocks to GDP The model indicates forecasters: attribute about two-thirds of the variance in current-period revisions to permanent shocks; view the relative importance of permanent shocks similar to the estimates of some simple univariate econometric models; see high-frequency indicators of economic activity as being informative about both permanent and transitory shocks; and react to incoming data differently during periods of economic weakness. (JEL C51, C53, E23, E27, E32, E37)