Forecast disagreement about long-run macroeconomic relationships

Pei Kuang; Li Tang; Renbin Zhang; Tongbin Zhang

doi:10.1016/j.jebo.2022.06.002

Forecast disagreement about long-run macroeconomic relationships

Pei Kuang^*
, Li Tang
, Renbin Zhang
, Tongbin Zhang

^*Corresponding author for this work

Economics

Research output: Contribution to journal › Article › peer-review

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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 language	English
Pages (from-to)	371-387
Number of pages	17
Journal	Journal of Economic Behavior & Organization
Volume	200
Early online date	24 Jun 2022
DOIs	https://doi.org/10.1016/j.jebo.2022.06.002
Publication status	Published - Aug 2022

Bibliographical note

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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10.1016/j.jebo.2022.06.002Licence: None: All rights reserved

KuangP2022ForecastAccepted author manuscript, 2.73 MBLicence: Creative Commons: Attribution-NonCommercial-NoDerivs (CC BY-NC-ND)

Cite this

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title = "Forecast disagreement about long-run macroeconomic relationships",

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.",

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author = "Pei Kuang and Li Tang and Renbin Zhang and Tongbin Zhang",

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year = "2022",

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doi = "10.1016/j.jebo.2022.06.002",

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AU - Kuang, Pei

AU - Tang, Li

AU - Zhang, Renbin

AU - Zhang, Tongbin

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N2 - 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.

AB - 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.

KW - Survey expectation

KW - Cointegration

KW - Disagreement

UR - https://www.scopus.com/pages/publications/85132874809

U2 - 10.1016/j.jebo.2022.06.002

DO - 10.1016/j.jebo.2022.06.002

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EP - 387

JO - Journal of Economic Behavior & Organization

JF - Journal of Economic Behavior & Organization

ER -

Forecast disagreement about long-run macroeconomic relationships

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this