Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/197892 
Authors: 
Year of Publication: 
2018
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2018-39
Publisher: 
Bank of Canada, Ottawa
Abstract: 
Given the influence that agents' expectations have on key macroeconomic variables, it is surprising that very few papers have tried to extrapolate agents' "true" expectations directly from the data. This paper presents one such approach, starting with the hypothesis that there is sluggishness in inflation and real GDP growth forecasts. Using individual-level data on 29 U.S. professional forecasters from the Survey of Professional Forecasters, I find that some degree of sluggishness is present in about 40% of inflation forecasts and in 60% of real GDP growth forecasts. The estimates of sluggishness are then used to recover a series of sluggishness-adjusted expectations that are more volatile and, at times, more accurate than the raw survey forecasts.
Subjects: 
Econometric and statistical methods
Inflation and prices
JEL: 
E31
E37
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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