Professional Forecasters' View of Permanent and Transitory Shocks to GDP
- (pp. 184-211)
Abstract
This paper examines how the professional forecasters comprising the Blue Chip Economic Consensus view shocks to GDP. I use an unobserved components model of the forecast revisions to identify forecasters' perceptions of permanent and transitory shocks to GDP. The model indicates forecasters: attribute about two-thirds of the variance in current-period revisions to permanent shocks; view the relative importance of permanent shocks similar to the estimates of some simple univariate econometric models; see high-frequency indicators of economic activity as being informative about both permanent and transitory shocks; and react to incoming data differently during periods of economic weakness. (JEL C51, C53, E23, E27, E32, E37)Citation
Krane, Spencer D. 2011. "Professional Forecasters' View of Permanent and Transitory Shocks to GDP." American Economic Journal: Macroeconomics, 3 (1): 184-211. DOI: 10.1257/mac.3.1.184Additional Materials
JEL Classification
- C51 Model Construction and Estimation
- C53 Forecasting Methods; Simulation Methods
- E23 Macroeconomics: Production
- E27 Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
- E32 Business Fluctuations; Cycles
- E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
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