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Forecast disagreement about long-run macroeconomic relationships

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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

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To link to this item 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
Refereed:Yes
Divisions:Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
ID Code:120830
Publisher:Elsevier
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