Fundamental disagreement

被引：61

作者：

Andrade, Philippe ^{[1
]}

Crump, Richard K. ^{[2
]}

Eusepi, Stefano ^{[2
]}

Moench, Emanuel ^{[3
]}

机构：

[1] Banque France, Paris, France

[2] Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA

[3] Deutsch Bundesbank, Frankfurt, Germany

来源：

JOURNAL OF MONETARY ECONOMICS | 2016年 / 83卷

关键词：

Expectations; Survey forecasts; Imperfect information; Term structure of disagreement; STICKY INFORMATION; LONG-RUN; INFLATION; UNCERTAINTY; EXPECTATIONS; PERSISTENCE; FORECASTS; EVOLUTION; PRICES; US;

D O I：

10.1016/j.jmoneco.2016.08.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We document a novel set of facts about disagreement among professional forecasters: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time varying at all horizons. We propose a generalized model of imperfect information that can jointly explain these facts. We further use the term structure of disagreement to show that the monetary policy rule perceived by professional forecasters features a high degree of interest-rate smoothing and time variation in the intercept. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：106 / 128

页数：23

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