Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion

Published

Journal Article

Key sources of disagreement among economic forecasters are identified by using data on cross-sectional dispersion in forecasters' long- and short-run predictions of macroeconomic variables. Dispersion among forecasters is highest at long horizons where private information is of limited value and lower at short forecast horizons. Moreover, differences in views persist through time. Such differences in opinion cannot be explained by differences in information sets; our results indicate they stem from heterogeneity in priors or models. Differences in opinion move countercyclically, with heterogeneity being strongest during recessions where forecasters appear to place greater weight on their prior beliefs. © 2010 Elsevier B.V.

Full Text

Duke Authors

Cited Authors

  • Patton, AJ; Timmermann, A

Published Date

  • October 1, 2010

Published In

Volume / Issue

  • 57 / 7

Start / End Page

  • 803 - 820

International Standard Serial Number (ISSN)

  • 0304-3932

Digital Object Identifier (DOI)

  • 10.1016/j.jmoneco.2010.07.001

Citation Source

  • Scopus