Forecast revisions in the presence of news: a lab investigation
We conduct a laboratory experiment in a fully-fledged macroeconomic model where participants receive information about future government spending shocks and are tasked with repeatedly forecasting output over a given horizon. By eliciting several-period-head predictions, we investigate forecast react...
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| Main Authors: | , |
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| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
Heidelberg
Universitätsbibliothek Heidelberg
11 Mai 2022
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| Series: | AWI discussion paper series
no. 714 (April 2022) |
| In: |
AWI discussion paper series (no. 714 (April 2022))
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| DOI: | 10.11588/heidok.00031616 |
| Subjects: | |
| Online Access: | Resolving-System, kostenfrei: https://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-316163 Resolving-System, kostenfrei: http://dx.doi.org/10.11588/heidok.00031616 Verlag, kostenfrei, Volltext: http://www.ub.uni-heidelberg.de/archiv/31616 Verlag, kostenfrei: http://archiv.ub.uni-heidelberg.de/volltextserver/31616/13/Lustenhouwer_Salle_2022_dp_714.pdf Resolving-System: https://nbn-resolving.org/urn:nbn:de:bsz:16-heidok-316163 Langzeitarchivierung Nationalbibliothek: https://d-nb.info/1257330497/34 Resolving-System, kostenfrei: https://hdl.handle.net/10419/278146 
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| Author Notes: | Joep Lustenhouwer, Isabelle Salle |
| Summary: | We conduct a laboratory experiment in a fully-fledged macroeconomic model where participants receive information about future government spending shocks and are tasked with repeatedly forecasting output over a given horizon. By eliciting several-period-head predictions, we investigate forecast reaction to news and revision. The lab forecasts are consistent with stylized facts on reaction to news established in the survey literature. We find that subjects steadily learn the magnitude of the effect of the shocks on output, albeit not to full extent. We further find little support for fully backward-looking expectations. We rationalize the experimental data in the context of a Bayesian updating model, which provides a better description of the behaviors in longer-horizon environments and among more attentive and experienced subjects. |
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| Physical Description: | Online Resource |
| DOI: | 10.11588/heidok.00031616 |