Forecast disagreement about long-run macroeconomic relationships

Kuang, P., Tang, L. ORCID: https://orcid.org/0000-0001-7119-3186, Zhang, R. and Zhang, T. (2022) Forecast disagreement about long-run macroeconomic relationships. Journal of Economic Behavior and Organization, 200. pp. 371-387. ISSN 0167-2681 doi: 10.1016/j.jebo.2022.06.002

Abstract/Summary

Using survey forecast data, this paper studies whether professional forecasters utilize long-run cointegration relationships among macroeconomic variables to forecast the future, as postulated in stochastic growth models. Significant heterogeneity exists among forecasters. The majority of the forecasters do not use these long-run relationships. The results are robust across different groups, to addressing the multiple testing problem and to allowing for structural break.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/120830
Identification Number/DOI	10.1016/j.jebo.2022.06.002
Refereed	Yes
Divisions	Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
Publisher	Elsevier
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