Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93655
Authors: 
Andrade, Philippe
Crump, Richard K.
Eusepi, Stefano
Moench, Emanuel
Year of Publication: 
2013
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 655
Abstract: 
We study the term structure of disagreement of professional forecasters for key macroeconomic variables. We document a novel set of facts: 1) forecasters disagree at all horizons, including the very long run; 2) the shape of the term structure of disagreement differs markedly across variables: the term structure is downward-sloping for real output growth, relatively flat for CPI inflation, and upward-sloping for the federal funds rate; 3) disagreement is time varying at all horizons, including the very long run. We suggest a model with noisy information and shifting long-run beliefs that is consistent with these stylized facts. Notably, our model does not rely on the heterogeneity of prior beliefs, bounded rationality, or differences in the precision of signals across agents.
Subjects: 
expectations
survey forecasts
imperfect information
term structure of disagreement
JEL: 
D83
D84
E37
Document Type: 
Working Paper

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