Forecast disagreement about long-run macroeconomic relationships

Pei Kuang, Li Tang, Renbin Zhang, Tongbin Zhang

Research output: Contribution to journalArticlepeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)371-387
Number of pages17
JournalJournal of Economic Behavior & Organization
Volume200
Early online date24 Jun 2022
DOIs
Publication statusPublished - Aug 2022

Bibliographical note

Funding Information:
We are grateful to Yannis Karavias for advice on econometric testing. We thank the editor, Joscha Beckmann, and two anonymous referees for constructive and very helpful comments. Tongbin Zhang acknowledges the financial support of the National Natural Science Foundation of China ( 72173076 , 72141303 ).

Funding Information:
We are grateful to Yannis Karavias for advice on econometric testing. We thank the editor, Joscha Beckmann, and two anonymous referees for constructive and very helpful comments. Tongbin Zhang acknowledges the financial support of the National Natural Science Foundation of China (72173076, 72141303).

Publisher Copyright:
© 2022 Elsevier B.V.

Keywords

  • Survey expectation
  • Cointegration
  • Disagreement

ASJC Scopus subject areas

  • Economics and Econometrics
  • Organizational Behavior and Human Resource Management

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